Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12188/26734
Title: EVALUATION OF MIXED FREQUENCY APPROACHES FOR TRACKING NEAR-TERM ECONOMIC DEVELOPMENTS IN NORTH MACEDONIA
Authors: Ramadani, Gani
Petrovska, Magdalena
Bucevska, Vesna 
Keywords: MF-VAR, Bayesian estimation, MIDAS, forecast pooling, forecast evaluation
Issue Date: Jul-2021
Publisher: School of Economics and Business, University of Sarajevo
Journal: South East European Journal of Economics and Business Volume 16 (2) 2021, 43-52
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.
URI: http://hdl.handle.net/20.500.12188/26734
DOI: 10.2478/jeb-2021-0013
Appears in Collections:Faculty of Economics 03: Journal Articles / Статии во научни списанија

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