This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We
begin by discussing estimation and inference for Markov-switching Mixed-Frequency VAR
(MSMF-VAR) models. Next, we assess the finite sample performance of the technique in
Monte-Carlo experiments. Finally, the MSMF-VAR model is used to predict GDP growth and
business cycle turning points in the euro area. Its performance is then compared with those
of a number of competing models, including linear and regime switching mixed data …

This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We
first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-
VAR) models. Next, we assess the finite sample performance of the technique in Monte-
Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and
business cycle turning points in the euro area. Its performance is compared with that of a
number of competing models, including linear and regime switching mixed data sampling …