Mikosch, Heiner; Neuwirth, Stefan - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2015
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon lag polynomial scheme which is designed to reduce...
