Date: 2014
Type: Article
Mixed‐frequency structural models : identification, estimation, and policy analysis
Journal of applied econometrics, 2014, Vol. 29, No. 7, pp. 1118-1144
FORONI, Claudia, MARCELLINO, Massimiliano, Mixed‐frequency structural models : identification, estimation, and policy analysis, Journal of applied econometrics, 2014, Vol. 29, No. 7, pp. 1118-1144
- https://hdl.handle.net/1814/39493
Retrieved from Cadmus, EUI Research Repository
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems, estimation bias, and distortions in policy analysis. We propose an estimation strategy based on mixed-frequency data to alleviate these shortcomings. The virtues of our approach are explored for two monetary policy models.
Cadmus permanent link: https://hdl.handle.net/1814/39493
Full-text via DOI: 10.1002/jae.2396
ISSN: 1099-1255
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