Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on … curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence …