This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …

constancy, which is a central element in model-based forecasting. The empirical results indicate substantial room for an …