Short-term forecasting with mixed-frequency data: a MIDASSO approach

Boriss Siliverstovs

Applied Economics, 2017, vol. 49, issue 13, 1326-1343

Abstract: In this article, we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al. 2015; Castle et al. 2009; Bec and Mogliani 2013), and the LASSO-type penalized regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie 2005). We illustrate our approach by forecasting the quarterly real GDP growth rate in Switzerland.

Date: 2017
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Working Paper: Short-term forecasting with mixed-frequency data: A MIDASSO approach (2015)
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DOI: 10.1080/00036846.2016.1217310

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