COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS
ThispaperaimstocomparetheforecastingperformanceofthewidelyusedVARandBayesian VAR model to the unrestricted MIDAS regression. The models are tested on a real-time macroeconomic data set ranging from 2000 to 2015. The variables are mixed frequency data, specifically, predictions are made for GDP, using...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-326061 |