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Autoregressive augmentation of MIDAS regressions

Cláudia Duarte ()

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: Focusing on the MI(xed) DA(ta) S(ampling) regressions for handling different sampling frequencies and asynchronous releases of information, alternative techniques for the autoregressive augmentation of these regressions are presented and discussed. For forecasting quarterly euro area GDP growth using a small set of selected indicators, the results obtained suggest that no specific kind of MIDAS regressions clearly dominates in terms of forecast accuracy. Nevertheless, alternatives to common-factor MIDAS regressions with autoregressive terms perform well and in some cases are the best performing regressions.

JEL-codes: C53 E37 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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