Barsoum, Fady; Stankiewicz, Sandra - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2013
For modelling mixed-frequency data with business cycle pattern we introduce the Markovswitching Mixed Data Sampling model with unrestricted lag polynomial (MS-U-MIDAS). Usually models of the MIDAS-class use lag polynomials of a specific function, which impose some structure on the weights of...