Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009
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 onexponential lag polynomials for the coe¢ cients, whereas...