Abstract Details
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Activity Number:
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601
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Type:
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Contributed
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Date/Time:
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Wednesday, August 7, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #309815 |
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Title:
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Markov-Switching Mixed Frequency VAR Models
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Author(s):
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Pierre Guérin*+ and Claudia Foroni and Massimiliano Marcellino
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Companies:
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Bank of Canada and Norges Bank and European University Institute
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Keywords:
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Markov-switching ;
MIDAS ;
Mixed-frequency VAR ;
Nowcasting ;
Forecasting
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Abstract:
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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 and forecast the status of economic activity.
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