Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/212823 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
BOFIT Discussion Papers No. 13/2015
Verlag: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
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 fexible. 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 dierent VAR specications. 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.
JEL: 
C53
E27
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-323-042-2
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.