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Evaluation of Mixed Frequency Approaches for Tracking Near-Term Economic Developments in North Macedonia

Author

Listed:
  • Ramadani Gani

    (Senior Advisor Monetary Policy and Research Department, National Bank of the Republic of North Macedonia)

  • Petrovska Magdalena

    (Senior Advisor Monetary Policy and Research Department, National Bank of the Republic of North Macedonia)

  • Bucevska Vesna

    (PhD Full professor of Econometrics and Financial Econometrics Faculty of Economics-Skopje, Ss. Cyril and Methodius University)

Abstract

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper concentrates on the empirical methods dealing with mixed-frequency data. In particular, it focuses on the MIDAS approach and its later extension, the Bayesian MFVAR. The two strategies are evaluated in terms of their accuracy to nowcast Macedonian GDP growth, using same monthly frequency data set. The results of this study indicate that the MIDAS regressions demonstrate comparable forecasting performance to that of MF-VAR model. Moreover, it is interesting to note that the two approaches are reciprocal, since in general, their combined forecast demonstrates clear superiority in predicting business cycle turning points. Additionally, the MF-VAR model showed higher precision in times of increased uncertainty.

Suggested Citation

  • Ramadani Gani & Petrovska Magdalena & Bucevska Vesna, 2021. "Evaluation of Mixed Frequency Approaches for Tracking Near-Term Economic Developments in North Macedonia," South East European Journal of Economics and Business, Sciendo, vol. 16(2), pages 43-52, December.
    • Handle: RePEc:vrs:seejeb:v:16:y:2021:i:2:p:43-52:n:9
    DOI: 10.2478/jeb-2021-0013
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    MF-VAR; Bayesian estimation; MIDAS; forecast pooling; forecast evaluation;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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