Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/114451 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
KOF Working Papers No. 377
Verlag: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
Zusammenfassung: 
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon lag polynomial scheme which is designed to reduce the parameter space while keeping models flexible. We show how to recast the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. A pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves predictive accuracy upon a standard VAR for different VAR specififications. Forecast errors for, e.g., GDP growth decrease by 30 to 60 percent for forecast horizons up to six months and by around 20 percent for a forecast horizon of one year.
Schlagwörter: 
Forecasting
mixed frequency data
MIDAS
VAR
real time
JEL: 
C53
E27
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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