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 …

-on-quarter growth rate in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting, although their ranking depends on the underlying transformation of monthly indicators from which the …

encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …

This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and … inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the … technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning …

nowcasting Euro area and US GDP using monthly indicators. …

paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … exponential lag polynomials for the coefficients, whereas MF-VAR does not restrict the dynamics and therefore can suffer from the …

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with … forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of …

. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …

out to assess the forecasting performance of the estimated models, using predictive ability and model confidence set tests …. This latter allows getting several models displaying equivalent forecasting performance and therefore gives robustness to … the forecasting exercise rather than to base the forecasting analysis only on one model. …