Autori:
Marcellino, Massimiliano ![](http://www.bncf.firenze.sbn.it/img/logo-bncf.jpg)
,
Schumacher, Christian ![](http://www.bncf.firenze.sbn.it/img/logo-bncf.jpg)
,
Kuzin, Vladimir ![](http://www.bncf.firenze.sbn.it/img/logo-bncf.jpg)
Titolo:
MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro AreaPeriodico:
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2009 - Fascicolo:
32 - Pagina iniziale:
1 - Pagina finale:
21This 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.
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