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Markov-Switching MIDAS Models

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  • Pierre Guérin
  • Massimiliano Marcellino

Abstract

This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS and a small sample simulation-based evaluation, the MS-MIDAS model is applied to the prediction of the U.S. economic activity, in terms of both quantitative forecasts of the aggregate economic activity and the prediction of the business cycle regimes. Both simulation and empirical results indicate that MS-MIDAS is a very useful specification.

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File URL: http://hdl.handle.net/10.1080/07350015.2012.727721
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Journal of Business & Economic Statistics.

Volume (Year): 31 (2013)
Issue (Month): 1 (January)
Pages: 45-56

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Handle: RePEc:taf:jnlbes:v:31:y:2013:i:1:p:45-56

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Citations

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Cited by:
  1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Paper 1227, Federal Reserve Bank of Cleveland.
  2. Fady Barsoum & Sandra Stankiewicz, 2013. "Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes," Working Paper Series of the Department of Economics, University of Konstanz 2013-10, Department of Economics, University of Konstanz.
  3. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
  4. Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Working Papers 13-51, Bank of Canada.
  5. Cláudia Duarte, 2014. "Autoregressive augmentation of MIDAS regressions," Working Papers w201401, Banco de Portugal, Economics and Research Department.
  6. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.

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