Discussion paper

DP9815 Markov-Switching Mixed-Frequency VAR Models

This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that of a number of competing models, including linear and regime switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the status of economic activity.


Marcellino, M and C Foroni (eds) (2014), “DP9815 Markov-Switching Mixed-Frequency VAR Models”, CEPR Press Discussion Paper No. 9815. https://cepr.org/publications/dp9815