| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7476
|
| DP7476 Adversarial versus Inquisitorial Testimony |
| Winand Emons; Claude Fluet
|
| 发表日期 | 2009-09-27
|
| 出版年 | 2009
|
| 语种 | 英语
|
| 摘要 | This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coefficients, whereas MF-VAR does not restrict the dynamics and therefore can suffer from the curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence, it is difficult to rank MIDAS and MF-VAR a priori, and their relative ranking is better evaluated empirically. In this paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP growth in the euro area, on a monthly basis and using a set of 20 monthly indicators. It turns out that the two approaches are more complementary than substitutes, since MF-VAR tends to perform better for longer horizons, whereas MIDAS for shorter horizons. |
| 主题 | International Macroeconomics
|
| 关键词 | Euro area growth
Midas
Mixed-frequency data
Mixed-frequency var
Nowcasting
|
| URL | https://cepr.org/publications/dp7476
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536313
|
推荐引用方式
GB/T 7714 |
Winand Emons,Claude Fluet. DP7476 Adversarial versus Inquisitorial Testimony. 2009.
|
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