| 000 | 02408nam a22003497a 4500 | ||
|---|---|---|---|
| 003 | arcduce | ||
| 005 | 20211121005235.0 | ||
| 007 | ta | ||
| 008 | 160613s2009 gw_||||| |||| 00| 0 eng d | ||
| 020 | _a9783865585080 | ||
| 040 |
_aarcduce _carcduce |
||
| 082 | 0 |
_221 _a339.31094 |
|
| 100 | 1 |
_97668 _aKuzin, Vladimir |
|
| 245 | 1 | 0 |
_aMIDAS versus mixed-frequency VAR : _bnowcasting GDP in the euro area / _cVladimir Kuzin, Massimiliano Marcellino, Christian Schumacher. |
| 260 |
_aFrankfurt am Main : _bDeutsche Bundesbank, _c2009 |
||
| 300 | _a27 p. | ||
| 490 | 1 |
_aDiscussion paper. Series 1: economic studies ; _vno. 07/2009 |
|
| 504 | _aBibliografía: p. 15-17. | ||
| 505 | 0 | _a1. 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. | |
| 520 | 3 | _aThis 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. | |
| 650 | 4 |
_aUNION EUROPEA _9155 |
|
| 650 | 4 |
_aPREDICCIONES ECONOMICAS _92895 |
|
| 650 | 4 |
_aMETODOLOGIA _9425 |
|
| 650 | 4 |
_aPRODUCTO INTERNO BRUTO _97852 |
|
| 653 | 4 | _aPRONOSTICOS ECONOMICOS | |
| 700 | 1 |
_95999 _aMassimiliano Marcellino, _d1970- |
|
| 700 | 1 |
_96001 _aSchumacher, Christian |
|
| 830 | 0 |
_94690 _aDiscussion paper (Deutsche Bundesbank). _pSeries 1: economic studies _vno. 07/2009 |
|
| 856 | 4 | _uhttps://www.econstor.eu/bitstream/10419/27661/1/200907dkp.pdf | |
| 942 |
_2ddc _cDOCU _jF 339.31094 K 13570 |
||
| 945 |
_aBEA _c2016-09-26 |
||
| 999 |
_c25601 _d25601 |
||