Subject: MF-VAR, Bayesian estimation, MIDAS, forecast pooling, forecast evaluation
Year: 2021
Title: EVALUATION OF MIXED FREQUENCY APPROACHES FOR TRACKING NEAR-TERM ECONOMIC DEVELOPMENTS IN NORTH MACEDONIA
Author: Ramadani, Gani
Author: Petrovska, Magdalena
Author: Bucevska, Vesna
Abstract: Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper concentrates on the empirical methods dealing with mixed frequency data. In particular, it focuses on the MIDAS approach and its later extension, the Bayesian MF VAR. The two strategies are evaluated in terms of their accuracy to nowcast Macedonian GDP growth, using same monthly frequency data set. The results of this study indicate that the MIDAS regressions demonstrate comparable forecasting performance to that of MF-VAR model. Moreover, it is interesting to note that the two approaches are reciprocal, since in general, their combined forecast demonstrates clear superiority in predicting business cycle turning points. Additionally, the MF-VAR model showed higher precision in times of increased uncertainty.
Publisher: School of Economics and Business, University of Sarajevo
Relation: South East European Journal of Economics and Business Volume 16 (2) 2021, 43-52
Identifier: oai:repository.ukim.mk:20.500.12188/26734
Identifier: http://hdl.handle.net/20.500.12188/26734Identifier: 10.2478/jeb-2021-0013
