dc.contributor.author | FORONI, Claudia | |
dc.contributor.author | GUERIN, Pierre | |
dc.contributor.author | MARCELLINO, Massimiliano | |
dc.date.accessioned | 2016-03-09T17:20:34Z | |
dc.date.available | 2016-03-09T17:20:34Z | |
dc.date.issued | 2014 | |
dc.identifier.uri | https://hdl.handle.net/1814/39589 | |
dc.description.abstract | 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. | |
dc.language.iso | en | |
dc.relation.ispartofseries | CEPR Discussion Paper | en |
dc.relation.ispartofseries | 2014/9815 | en |
dc.title | Markov-switching Mixed-Frequency VAR models | |
dc.type | Working Paper | |