Mixed-Frequency Vector Autoregressive Models☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply.
This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply.
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Published:2013
Claudia Foroni, Eric Ghysels, Massimiliano Marcellino, 2013. "Mixed-Frequency Vector Autoregressive Models☆
This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply.
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Abstract
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and Bayesian methods of estimating mixed-frequency VARs, and use them for forecasting and structural analysis. We also compare mixed-frequency VARs with other approaches to handling mixed-frequency data.
