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.File | Dimensione | Formato | |
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