This paper tests the usefulness of time-varying parameters when forecasting with mixed-frequency data. For this we compare the forecast performance of bridge equations and unrestriced MIDAS models with constant and time-varying parameters. An out-of-sample forecasting exercise with US real-time...

Releases of the GDP are subject to revisions over time. This paper examines the predictability of German GDP revisions using forecast rationality tests. Previous studies of German GDP covering data until 1997 finds that revisions of real seasonally adjusted GDP are predictable. This paper uses a...

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...

We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile high frequency data with long lag structure for forecasting low-frequency data. We test this setup by using real-time Swiss construction investment and construction permit data....

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...

We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile high frequency data with long lag structure for forecasting low-frequency data. We test this setup by using real-time Swiss construction investment and construction permit data....

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

The Nowcasting Lab is an automated code-database-website environment for GDP forecasting. It generates nowcasts and one-quarter ahead forecasts for quarterly GDP growth of the United States, the euro area, and currently 14 other economies using several forecasting models and a large amount of...