Date: 2014
Type: Working Paper
Mixed frequency structural VARs
Working Paper, Norges Bank Working Paper, 2014/01
FORONI, Claudia, MARCELLINO, Massimiliano, Mixed frequency structural VARs, Norges Bank Working Paper, 2014/01 - https://hdl.handle.net/1814/39595
Retrieved from Cadmus, EUI Research Repository
A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the identification issues, and yield more reliable responses to shocks. The problems and possible remedy are illustrated analytically and with both simulated and actual data.
Cadmus permanent link: https://hdl.handle.net/1814/39595
Series/Number: Norges Bank Working Paper; 2014/01
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