Markov-switching mixed-frequency VAR models

Claudia Foroni, Pierre Guérin and Massimiliano Marcellino

International Journal of Forecasting, 2015, vol. 31, issue 3, 692-711

Abstract: This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is used to predict GDP growth and business cycle turning points in the euro area. Its performance is then compared with those of a number of competing models, including linear and regime switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful for estimating the status of economic activity.

Keywords: Markov-switching; MIDAS; Mixed-frequency VAR; Nowcasting; Forecasting (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (18)

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Working Paper: Markov-Switching Mixed-Frequency VAR Models (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:31:y:2015:i:3:p:692-711

DOI: 10.1016/j.ijforecast.2014.05.003

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