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TF-MIDAS: a transfer function based mixed-frequency model

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Bonino-Gayoso, Nicolás and Garcia Hiernaux, Alfredo (2020) TF-MIDAS: a transfer function based mixed-frequency model. pp. 1-45. (Unpublished)

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Abstract

This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing upon the common distributed lag polynomial model, we use a transfer function representation to develop a new type of models, named TF-MIDAS. We derive the theoretical TF-MIDAS implied by the high-frequency VARMA family models for two common aggregation schemes, flow and stock. This exact correspondence leads to potential gains in terms of nowcasting and forecasting performance against the current alternatives. The estimation of the model proposed is also addressed via its state space equivalent form. A Monte Carlo simulation exercise confirms that TF-MIDAS beats U-MIDAS models (its natural competitor) in terms of out-of-sample nowcasting performance for several data generating high-frequency processes.


Item Type:Article
Uncontrolled Keywords:Mixed-frequency models; U-MIDAS; Nowcasting; Forecasting; TF-MIDAS
Subjects:Social sciences > Economics
Social sciences > Economics > Econometrics
Social sciences > Economics > Macroeconomics
JEL:C18, C51, C53
ID Code:61296
Deposited On:03 Jul 2020 09:37
Last Modified:03 Jul 2020 11:36

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