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...

Using linearity tests proposed by Choi and Saikkonen (2004), this paper finds evidence of a non-linear cointegrating money demand relationship in China during the 1987-2008 period and identifies potential explanations for this nonlinearity