A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
International journal of forecasting, 2014, Vol. 30, No. 3, pp. 554-568
FORONI, Claudia, MARCELLINO, Massimiliano, A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates, International journal of forecasting, 2014, Vol. 30, No. 3, pp. 554-568 - https://hdl.handle.net/1814/33956
Retrieved from Cadmus, EUI Research Repository
In this paper, we focus on the different methods which have been proposed in the literature to date for dealing with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency VAR (MF-VAR) models. We discuss their performances for nowcasting the quarterly growth rate of the Euro area GDP and its components, using a very large set of monthly indicators. We investigate the behaviors of single indicator models, forecast combinations and factor models, in a pseudo real-time framework. MIDAS with an AR component performs quite well, and outperforms MF-VAR at most horizons. Bridge equations perform well overall. Forecast pooling is superior to most of the single indicator models overall. Pooling information using factor models gives even better results. The best results are obtained for the components for which more economically related monthly indicators are available. Nowcasts of GDP components can then be combined to obtain nowcasts for the total GDP growth.
Cadmus permanent link: https://hdl.handle.net/1814/33956
Full-text via DOI: 10.1016/j.ijforecast.2013.01.010
ISSN: 0169-2070; 1872-8200
Publisher: Elsevier Science Bv
Keyword(s): Mixed-frequency data Mixed-frequency VAR MIDAS Bridge models Factor models Nowcasting Coincident index real gdp growth models midas performance
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