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Autoregressive augmentation of MIDAS regressions
C53 - Forecasting and Other Model Applications
E37 - Forecasting and Simulation
Focusing on the MI(xed) DA(ta) S(ampling) regressions for handling different sampling frequencies and asynchronous releases of information, alternative techniques for the autoregressive augmentation of these regressions are presented and discussed. For forecasting quarterly euro area GDP growth using a small set of selected indicators, the results obtained suggest that no specific kind of MIDAS regressions clearly dominates in terms of forecast accuracy. Nevertheless, alternatives to common-factor MIDAS regressions with autoregressive terms perform well and in some cases are the best performing regressions.