Published in:Banque de France Working Paper ; No. 384
Extent:
1 Online-Ressource (33 p)
Language:
English
DOI:
10.2139/ssrn.2090915
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2012 erstellt
Description:
This paper merges two specifications developed recently in the forecasting literature: the MS-MIDAS model introduced by Gu´erin and Marcellino [2011] and the MIDAS-factor model considered in Marcellino and Schumacher [2010]. The MS-factor MIDAS model (MS-FaMIDAS) that we introduce incorporates the information provided by a large data-set, takes into account mixed frequency variables and captures regime-switching behaviors. Monte Carlo simulations show that this new specification tracks the dynamics of the process quite well and predicts the regime switches successfully, both in sample and out-of-sample. We apply this new model to US data from 1959 to 2010 and detect properly the US recessions by exploiting the link between GDP growth and higher frequency financial variables