frequency information. We compare this model with two versions of the mixed frequency VAR, which so far had been only applied to … implement a simulation study to evaluate the relative forecasting ability of the alternative models in finite samples. Finally …, we conduct several empirical applications to assess the relevance of quarterly survey data for forecasting a set of …

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 … technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning …

nowcasting Euro area and US GDP using monthly indicators. …

. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …

paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci … exponential lag polynomials for the coe¢ cients, whereas MF-VAR does not restrict the dynamics and therefore can suffer from the …

paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … exponential lag polynomials for the coefficients, whereas MF-VAR does not restrict the dynamics and therefore can suffer from the …