<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>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 MFVAR. 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.</p>
</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 MFVAR. 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.

Evaluation of Mixed Frequency Approaches for Tracking Near-Term Economic Developments in North Macedonia

Senior Advisor Monetary Policy and Research Department

South East European Journal of Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper...

Evaluation of Mixed Frequency Approaches for Tracking Near-Term Economic Developments in North Macedonia

Published Online: Dec 30, 2021

Page range: 43 - 52

DOI: https://doi.org/10.2478/jeb-2021-0013

Keywords
MF-VAR, Bayesian estimation, MIDAS, forecast pooling, forecast evaluation

© 2021 Gani Ramadani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Evaluation of Mixed Frequency Approaches for Tracking Near-Term Economic Developments in North Macedonia

Published Online: Dec 30, 2021

Page range: 43 - 52

DOI: https://doi.org/10.2478/jeb-2021-0013

KeywordsMF-VAR, Bayesian estimation, MIDAS, forecast pooling, forecast evaluation

© 2021 Gani Ramadani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Keywords
MF-VAR, Bayesian estimation, MIDAS, forecast pooling, forecast evaluation