EconPapers    
Economics at your fingertips  
 

Real-time forecasting with a MIDAS VAR

Heiner Mikosch () and Stefan Neuwirth

No 13/2015, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition

Abstract: 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.

JEL-codes: C53 E27 (search for similar items in EconPapers)
Date: 2015-04-13
New Economics Papers: this item is included in nep-ets, nep-for and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://helda.helsinki.fi/bof/bitstream/123456789/13660/1/dp1315%5b1%5d.pdf (application/pdf)

Related works:
Working Paper: Real-Time Forecasting with a MIDAS VAR (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bof:bofitp:2015_013

Access Statistics for this paper

More papers in BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().

 
Page updated 2021-04-03
Handle: RePEc:bof:bofitp:2015_013