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dc.contributor.author
Mikosch, Heiner
dc.contributor.author
Neuwirth, Stefan
dc.date.accessioned
2017-10-31T15:47:20Z
dc.date.available
2017-06-11T16:59:54Z
dc.date.available
2017-10-31T15:47:20Z
dc.date.issued
2015-04
dc.identifier.uri
http://hdl.handle.net/20.500.11850/100088
dc.identifier.doi
10.3929/ethz-a-010414894
dc.description.abstract
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon lag polynomial scheme which is designed to reduce the parameter space while keeping models flexible. We show how to recast the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. A pseudo out-of-sample forecasting exercise with US real-time data yields that mixed frequency VAR substantially improves predictive accuracy upon a standard VAR for different VAR specifications. Forecast errors for, e.g., GDP growth decrease by 30 to 60 percent for forecast horizons up to six months and by around 20 percent for a forecast horizon of one year.
en_US
dc.format
application/pdf
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Mixed frequency data
en_US
dc.subject
Real time
en_US
dc.subject
VAR
en_US
dc.subject
WIRTSCHAFTSPROGNOSEN
en_US
dc.subject
Forecasting
en_US
dc.subject
ECONOMIC FORECASTS
en_US
dc.subject
MIDAS
en_US
dc.title
Real-Time Forecasting with a MIDAS VAR
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2015
ethz.journal.title
KOF Working Papers
ethz.journal.volume
377
en_US
ethz.size
33 p.
en_US
ethz.code.ddc
DDC - DDC::3 - Social sciences::330 - Economics
en_US
ethz.identifier.nebis
010414894
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.date.deposited
2017-06-11T17:00:00Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366b74e6e7f67670
ethz.identifier.importid
imp59365319e6abd29203
ethz.ecolpid
eth:47632
ethz.ecitpid
pub:156692
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-13T02:12:14Z
ethz.rosetta.lastUpdated
2020-02-15T08:39:56Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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