Markov-Switching Mixed-Frequency VAR Models

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

No 9815, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss 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 applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that 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 to estimate the status of economic activity.

Keywords: Fore-; Markov-switching; Midas; Mixed-frequency var; Nowcasting (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 (search for similar items in EconPapers)
Date: 2014-02
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Markov-switching mixed-frequency VAR models (2015)
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