Arbeitspapier
Real-time forecasting with a MIDAS VAR
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: KOF Working Papers ; No. 377
- Classification
-
Wirtschaft
Forecasting Models; Simulation Methods
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
- Subject
-
Forecasting
mixed frequency data
MIDAS
VAR
real time
- Event
-
Geistige Schöpfung
- (who)
-
Mikosch, Heiner
Neuwirth, Stefan
- Event
-
Veröffentlichung
- (who)
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ETH Zurich, KOF Swiss Economic Institute
- (where)
-
Zurich
- (when)
-
2015
- DOI
-
doi:10.3929/ethz-a-010414894
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mikosch, Heiner
- Neuwirth, Stefan
- ETH Zurich, KOF Swiss Economic Institute
Time of origin
- 2015
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