This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon … the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. An out …

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon … the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. A …

Building on a mixed data sampling (MIDAS) model we evaluate the predictive power of a variety of monthly macroeconomic … indicators for forecasting quarterly Chinese GDP growth. We iterate the evaluation over forecast horizons from 370 days to 1 day … 2009. Industrial production can be quite valuable for now- or even forecasting, but only if it is released shortly after …

In short-term forecasting, it is essential to take into account all available information on the current state of the … available data. In this respect, the Mixed-Data Sampling (MIDAS) model has proved to outperform existing tools by combining data … addresses this point by developing MIDAS based dimension reduction techniques and by introducing two novel approaches based on …

the so-called Mixed Data Sampling (MIDAS) approach that directly exploits the information content of monthly indicators to … smoothness priors in a distributed lag model, that weakens the restrictions the traditional MIDAS approach imposes on the data to …-nested specifications. It is found that the MIDAS approach is able to timely identify, from monthly information, important signals of the …

The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …