Arbeitspapier
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common factor in the error variances vary over time. We can therefore estimate moderately large systems in a reasonable amount of time, which makes our modifications appealing for practical use. For eleven U.S. variables, we examine the performance of our model and compare the results to the time-constant MF-VAR of Schorfheide and Song (2015). Our results demonstrate the feasibility and usefulness of our method.
- ISBN
-
978-3-95729-509-5
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 40/2018
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Forecasting Models; Simulation Methods
- Thema
-
Mixed Frequencies
Time-Varying Intercepts
Common Stochastic Volatility
Bayesian VAR
Forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Götz, Thomas B.
Hauzenberger, Klemens
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Götz, Thomas B.
- Hauzenberger, Klemens
- Deutsche Bundesbank
Entstanden
- 2018
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