Bouabdallah, Othman; Bessec, Marie - Université Paris-Dauphine (Paris IX) - 2015
This paper merges two specifications recently developed in the forecasting literature: the MS-MIDAS model (Guérin and Marcellino, 2013) and the factor-MIDAS model (Marcellino and Schumacher, 2010). The MS-factor MIDAS model that we introduce incorporates the information provided by a large data...