Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

Abstract

Download This Paper Open PDF in Browser Add Paper to My Library Share: Permalink Using these links will ensure access to this page indefinitely Copy URL Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area 36 Pages Posted: 8 Jun 2016 See all articles by Vladimir KuzinVladimir KuzinGerman Institute for Economic Research (DIW Berlin)Massimiliano Giuseppe MarcellinoBocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)Christian SchumacherDeutsche Bundesbank Date Written: 2009 Abstract This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci…cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coe¢ cients, whereas MF-VAR does not restrict the dynamics and therefore can su¤er from the curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence, it is di¢ cult to rank MIDAS and MF-VAR a priori, and their relative ranking is better evaluated empirically. In this paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP growth in the euro area, on a monthly basis and using a set of 20 monthly indicators. It turns out that the two approaches are more complementary than substitutes, since MF-VAR tends to perform better for longer horizons, whereas MIDAS for shorter horizons. Keywords: nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS JEL Classification: C53, E37 Suggested Citation: Suggested Citation Kuzin, Vladimir and Marcellino, Massimiliano and Schumacher, Christian, Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area (2009). Available at SSRN: https://ssrn.com/abstract=2785336 Vladimir Kuzin (Contact Author) German Institute for Economic Research (DIW Berlin) ( email ) Mohrenstraße 58Berlin, 10117Germany Massimiliano Marcellino Bocconi University - Department of Economics ( email ) Via Gobbi 5Milan, 20136Italy Centre for Economic Policy Research (CEPR) ( email ) LondonUnited Kingdom Christian Schumacher Deutsche Bundesbank ( email ) Wilhelm-Epstein-Str. 14Frankfurt/Main, 60431Germany Download This Paper Open PDF in Browser Do you have a job opening that you would like to promote on SSRN? Place job opening Paper statistics Downloads 91 Abstract Views 735 rank 352,643 18 References PlumX Metrics Related eJournals European Economics: Macroeconomics & Monetary Economics eJournal Follow European Economics: Macroeconomics & Monetary Economics eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 1,205 PAPERS 16,073 This Journal is curated by: Marco Da Rin at Tilburg University, Department of Finance, Francesco Giavazzi at University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)National Bureau of Economic Research (NBER) Econometric Modeling: Forecasting eJournal Follow Econometric Modeling: Forecasting eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 725 PAPERS 1,942 Deutsche Bundesbank Discussion Paper Series Follow Deutsche Bundesbank Discussion Paper Series Subscribe to this free journal for more curated articles on this topic FOLLOWERS 255 PAPERS 1,029 Feedback Feedback to SSRN Feedback (required) Email (required) Submit If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday. Submit a Paper Section 508 Text Only Pages SSRN Quick Links SSRN Solutions Research Paper Series Conference Papers Partners in Publishing Jobs & Announcements Newsletter Sign Up SSRN Rankings Top Papers Top Authors Top Organizations About SSRN SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs Copyright Terms and Conditions Privacy Policy We use cookies to help provide and enhance our service and tailor content. To learn more, visit Cookie Settings. This page was processed by aws-apollo5 in 0.203 seconds