Markov-switching MIDAS models

Massimiliano Marcellino
Authors registered in the RePEc Author Service: Pierre Guérin

No 8234, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS, and a small sample simulation based evaluation, the MS-MIDAS model is applied to the prediction of the US and UK economic activity, in terms both of quantitative forecasts of the aggregate economic activity and of the prediction of the business cycle regimes. Both simulation and empirical results indicate that MSMIDAS is a very useful specification.

Keywords: Business cycle; Mixed-frequency data; Non-linear models; Forecasting; Nowcasting (search for similar items in EconPapers)
JEL-codes: C22 C53 E37 (search for similar items in EconPapers)
Date: 2011-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Markov-Switching MIDAS Models (2013)
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