Short-term forecasting with mixed-frequency data : a MIDASSO approach

Boriss Siliverstovs

In this paper we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting the quarterly real GDP growth rate in Switzerland.

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Year of publication:	2015
Authors:	Siliverstovs, Boriss
Publisher:	Zürich : KOF
Subject:	Forecasting \| MIDAS \| LASSO \| real-time data \| Switzerland \| Schweiz \| Prognoseverfahren \| Forecasting model \| Frühindikator \| Leading indicator \| Wirtschaftsprognose \| Economic forecast \| Statistische Methode \| Statistical method \| Zeitreihenanalyse \| Time series analysis