This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …

help predicting euro area GDP. We investigate whether financial variables provide additional predictive power. We use a VAR … adding financial variables yields smaller errors in fore-casting US economic activity, especially at a five- quarter horizon …. When forecasting ability is assessed as if in real time (i.e. conditionally on the information available at the time when …