Type: Working Paper
Markov-switching Mixed-Frequency VAR models
Working Paper, CEPR Discussion Paper, 2014/9815
FORONI, Claudia, GUERIN, Pierre, MARCELLINO, Massimiliano, Markov-switching Mixed-Frequency VAR models, CEPR Discussion Paper, 2014/9815 - http://hdl.handle.net/1814/39589
Retrieved from Cadmus, EUI Research Repository
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that of a number of competing models, including linear and regime switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the status of economic activity.
Cadmus permanent link: http://hdl.handle.net/1814/39589
Series/Number: CEPR Discussion Paper; 2014/9815
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