Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/114447 
Year of Publication: 
2015
Series/Report no.: 
KOF Working Papers No. 375
Publisher: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
Abstract: 
In this paper we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting the quarterly real GDP growth rate in Switzerland.
Subjects: 
Forecasting
MIDAS
LASSO
real-time data
Switzerland
JEL: 
C22
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
283.29 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.