MIDAS versus mixed-frequency VAR : nowcasting GDP in the euro area / Vladimir Kuzin, Massimiliano Marcellino, Christian Schumacher.
Tipo de material: TextoSeries Discussion paper (Deutsche Bundesbank). Series 1: economic studies ; no. 07/2009Detalles de publicación: Frankfurt am Main : Deutsche Bundesbank, 2009Descripción: 27 pISBN:- 9783865585080
- 21 339.31094
Tipo de ítem | Biblioteca actual | Signatura topográfica | Estado | Fecha de vencimiento | Código de barras | |
---|---|---|---|---|---|---|
Documento | Biblioteca Manuel Belgrano | F 339.31094 K 13570 (Navegar estantería(Abre debajo)) | Disponible | 13570 F |
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.
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.
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