This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...

For the meeting of the Association d'Instituts Européens de Conjoncture Economique (AIECE) in May, Klaus-Jürgen Gern, Christophe Kamps, and Joachim Scheide prepared the General Report. It is now published as Kiel Discussion Paper 376/377 and supplemented by the country notes of other AIECE...

This paper reinterprets Maganelli's (2009) idea of "Forecasting with Judgment" to obtain a dynamic algorithm for combining survey data and time series models for macroeconomic forecasting. Unlike existing combination approaches which typically assign weights to alternative forecasts, the...