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

Boriss Siliverstovs

No 15-375, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: In this paper 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 penalised 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.

Keywords: Forecasting; MIDAS; LASSO; Real-time data; Switzerland (search for similar items in EconPapers)
Pages: 33 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (3)

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http://dx.doi.org/10.3929/ethz-a-010399937 (application/pdf)

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Journal Article: Short-term forecasting with mixed-frequency data: a MIDASSO approach (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:kof:wpskof:15-375

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