 A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregatesClaudia Foroni and Massimiliano Marcellino International Journal of Forecasting, 2014, vol. 30, issue 3, 554-568 Abstract: In this paper, we focus on the different methods which have been proposed in the literature to date for dealing with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency VAR (MF-VAR) models. We discuss their performances for nowcasting the quarterly growth rate of the Euro area GDP and its components, using a very large set of monthly indicators. We investigate the behaviors of single indicator models, forecast combinations and factor models, in a pseudo real-time framework. MIDAS with an AR component performs quite well, and outperforms MF-VAR at most horizons. Bridge equations perform well overall. Forecast pooling is superior to most of the single indicator models overall. Pooling information using factor models gives even better results. The best results are obtained for the components for which more economically related monthly indicators are available. Nowcasts of GDP components can then be combined to obtain nowcasts for the total GDP growth. Keywords: Mixed-frequency data; Mixed-frequency VAR; MIDAS; Bridge models; Factor models; Nowcasting (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:30:y:2014:i:3:p:554-568 DOI: 10.1016/j.ijforecast.2013.01.010 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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