Mixed Frequency Structural VARs

Arbeitspapier

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.

Object Details

• ISBN: 978-82-7553-784-1
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2014/01

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Index Numbers and Aggregation; Leading indicators ; Business Fluctuations; Cycles
• Subject: structural VAR ; temporal aggregation ; mixed frequency data ; identification ; estimation ; impulse response function

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Foroni, Claudia ; Marcellino, Massimiliano
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/210050
• Last update: 10.03.2025, 11:43 AM CET