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...

In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

This paper merges two specifications recently developed in the forecasting literature: the MS-MIDAS model (Guérin and Marcellino, 2013) and the factor-MIDAS model (Marcellino and Schumacher, 2010). The MS-factor MIDAS model that we introduce incorporates the information provided by a large data...