Short-term forecasting with mixed-frequency data: a MIDASSO approach

摘要: ABSTRACTIn this article, we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at same frequency to mixed-frequency data. Our MIDASSO is a combination of unrestricted MIxed-frequency DAta-Sampling (U-MIDAS) (see Foroni et al. 2015; Castle 2009; Bec Mogliani 2013), LASSO-type penalized regression used (2008), called elastic net (Zou Hastie 2005). We illustrate our by forecasting quarterly real GDP growth rate Switzerland.