This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates … regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in … Markov-switching models. After a discussion of estimation and inference for MS-MIDAS, and a small sample simulation based …

This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter … Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared … accuracy is achieved when GDP nowcasts for an actual quarter are made about three months ahead of the official data release. We …

In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a … of the predictive densities for U.S. GDP increase almost monotonically as new information arrives during the quarter …

GDP and other variables. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil … Survey and to compare it with the mechanical forecasts based on state-of-the-art nowcasting techniques. Results indicate that …

nowcasting Euro area and US GDP using monthly indicators. …Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by … to employ distributed lag functions. In this paper, we discuss the pros and cons of unrestricted lag polynomials in MIDAS …

that (a) regardless of the forecasting methods considered, PMIs are useful for nowcasting, but their value added diminishes …

Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious … model for nowcasting headline and core inflation in the U.S. price index for personal consumption expenditures (PCE) and the …’s nowcasting accuracy improves as information accumulates over the course of a month or quarter, and it easily outperforms a …

an increasing number of countries. This paper analyses the performance of the German toll statistics for nowcasting … indicators one should not be over-enthusiastic on the opportunities of the toll data as a nowcasting tool, though they surely …