Economic activity, this useful relationship has not been supported by empirical testing Although housing activity has often been used as a leading indicator of general using econometric procedures. In this chapter, we investigate whether housing activity does prove to be a leading indicator...

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...