Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114447
Authors: 
Siliverstovs, Boriss
Year of Publication: 
2015
Series/Report no.: 
KOF Working Papers, KOF Swiss Economic Institute, ETH Zurich 375
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

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