This paper merges two specifications developed recently in the forecasting literature: the MS-MIDAS model introduced by Guérin 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...

Many important macroeconomic variables measuring the state of the economy are sampled quarterly and with publication lags, although potentially useful predictors are observed at a higher frequency almost in real time. This situation poses the challenge of how to best use the available data to...

Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and...