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dc.contributor.authorFORONI, Claudia
dc.contributor.authorMARCELLINO, Massimiliano 
dc.date.accessioned2016-03-09T17:20:36Z
dc.date.available2016-03-09T17:20:36Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/1814/39595
dc.description.abstractA 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.
dc.language.isoen
dc.relation.ispartofseriesNorges Bank Working Paper
dc.relation.ispartofseries2014/01
dc.titleMixed frequency structural VARs
dc.typeWorking Paper


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