This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both … factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short …

striking contrast to related results in the literature for asset prices. In particular, recursive vector autoregressive (VAR … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … higher directional accuracy. We demonstrate how with additional identifying assumptions such VAR models may be used not only …

switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the …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 …

This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence …, it is difficult to rank MIDAS and MF-VAR a priori, and their relative ranking is better evaluated empirically. In this …

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with …-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to … forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of …

', using different versions of what we call factor-based mixed-data sampling (Factor-MIDAS) approaches. We compare all possible … combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Concerning the projections, the most parsimonious MIDAS projection performs best overall. Finally, quarterly models are in …

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 …