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Markov-Switching MIDAS Models

  • Pierre Guérin
  • Massimiliano Marcellino

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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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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  17. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
  18. Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
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  25. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
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