Cointegrating MiDaS Regressions and a MiDaS Test

Preprint OPEN
J. Isaac Miller (2011)
  • Subject: cointegration, mixed-frequency series, mixed data sampling
    • jel: jel:C12 | jel:C22 | jel:C13
    arxiv: Statistics::Methodology

This paper introduces cointegrating mixed data sampling (CoMiDaS) regressions, generalizing nonlinear MiDaS regressions in the extant literature. Under a linear mixed-frequency data-generating process, MiDaS regressions provide a parsimoniously parameterized nonlinear alternative when the linear forecasting model is over-parameterized and may be infeasible. In spite of potential correlation of the error term both serially and with the regressors, I find that nonlinear least squares consistently estimates the minimum mean-squared forecast error parameter vector. The exact asymptotic distribution of the difference may be non-standard. I propose a novel testing strategy for nonlinear MiDaS and CoMiDaS regressions against a general but possibly infeasible linear alternative. An empirical application to nowcasting global real economic activity using monthly covariates illustrates the utility of the approach.
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