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 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.
- Sprache
-
Englisch
- ISBN
-
978-952-323-042-2
- Erschienen in
-
Series: BOFIT Discussion Papers ; No. 13/2015
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mikosch, Heiner
Neuwirth, Stefan
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland, Institute for Economies in Transition (BOFIT)
- (wo)
-
Helsinki
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mikosch, Heiner
- Neuwirth, Stefan
- Bank of Finland, Institute for Economies in Transition (BOFIT)
Entstanden
- 2015
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