Forecasting GDP Over the Business Cycle in a Multi‐Frequency and Data‐Rich Environment

25 Pages Posted: 27 Apr 2015

Multiple version iconThere are 2 versions of this paper

Date Written: June 2015

Abstract

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 set consisting of mixed frequency variables and captures regime‐switching behaviours. Monte Carlo simulations show that this specification tracks the dynamics of the process and predicts the regime switches successfully, both in‐sample and out‐of‐sample. We apply this model to US data from 1959 to 2010 and properly detect recessions by exploiting the link between GDP growth and higher frequency financial variables.

Suggested Citation

Bessec, Marie and Bouabdallah, Othman, Forecasting GDP Over the Business Cycle in a Multi‐Frequency and Data‐Rich Environment (June 2015). Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 3, pp. 360-384, 2015, Available at SSRN: https://ssrn.com/abstract=2598833 or http://dx.doi.org/10.1111/obes.12069

Marie Bessec (Contact Author)

Banque de France ( email )

Paris
France

Othman Bouabdallah

Banque de France ( email )

Paris
France

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
2
Abstract Views
254
PlumX Metrics