English, Article, Journal or magazine article edition: MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, Christian

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Bookmark: http://trove.nla.gov.au/version/191868
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area
Author
  • Kuzin, Vladimir
  • Marcellino, Massimiliano
  • Schumacher, Christian
Physical Description
  • preprint
Notes
  • This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci…cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coe¢ cients, whereas MF-VAR does not restrict the dynamics and therefore can su¤er from the curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence, it is di¢ cult to rank MIDAS and MF-VAR a priori, and their relative ranking is better evaluated empirically. In this paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP growth in the euro area, on a monthly basis and using a set of 20 monthly indicators. It turns out that the two approaches are more complementary than substitutes, since MF-VAR tends to perform better for longer horizons, whereas MIDAS for shorter horizons.
  • nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS
  • RePEc:zbw:bubdp1:7576
Language
  • English
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