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Guerin, Pierre; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011

This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...

Persistent link: https://www.econbiz.de/10008868072

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …

Persistent link: https://www.econbiz.de/10011083444