Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - In: International Journal of Forecasting 27 (2011) 2, pp. 529-542
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 which are based on exponential lag polynomials for the...
