TY  - BOOK
AU  - Kuzin,Vladimir
AU  - Massimiliano Marcellino
AU  - Schumacher,Christian
TI  - MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area 
T2  - Discussion paper. Series 1: economic studies
SN  - 9783865585080
U1  - 339.31094 21
PY  - 2009///
CY  - Frankfurt am Main
PB  - Deutsche Bundesbank
KW  - UNION EUROPEA
KW  - PREDICCIONES ECONOMICAS
KW  - METODOLOGIA
KW  - PRODUCTO INTERNO BRUTO
KW  - PRONOSTICOS ECONOMICOS
N1  - Bibliografía: p. 15-17; 1. Introduction -- 2. Nowcasting quarterly GDP with ragged-edge data -- 3. Now and forecasting Euro Area GDP with MIDAS and MF-VAR -- 4. Conclusions --  Euro Area dataset
N2  - 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
UR  - https://www.econstor.eu/bitstream/10419/27661/1/200907dkp.pdf
ER  -