higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature … in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting …-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical …