| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9815 |
| DP9815 Markov-Switching Mixed-Frequency VAR Models | |
| Massimiliano Marcellino; Claudia Foroni | |
| 发表日期 | 2014-02-09 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss 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 applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that 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 to estimate the status of economic activity. |
| 主题 | International Macroeconomics |
| 关键词 | Fore- Markov-switching Midas Mixed-frequency var Nowcasting |
| URL | https://cepr.org/publications/dp9815 |
| 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/538651 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Claudia Foroni. DP9815 Markov-Switching Mixed-Frequency VAR Models. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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