This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing 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 used to predict GDP growth and business cycle turning points in the euro area. Its performance is then compared with those 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 for estimating the status of economic activity.

Markov-Switching mixed-frequency VAR models

MARCELLINO, MASSIMILIANO
2015

Abstract

This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing 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 used to predict GDP growth and business cycle turning points in the euro area. Its performance is then compared with those 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 for estimating the status of economic activity.
2015
2014
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3915518
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