Mixed-Frequency Vector Autoregressive Models
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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.
ISBN: 978-1-78190-752-8
Publication date: 13 December 2013
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.
Keywords
Acknowledgements
Acknowledgment
We are grateful to Lutz Kilian for helpful comments on a previous draft. The second author likes to thank the financial support of a Fernand Braudel Senior Fellowship of the European University Institute, Florence.
Citation
Foroni, C., Ghysels, E. and Marcellino, M. (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.
Publisher
:Emerald Group Publishing Limited
Copyright © 2013 Emerald Group Publishing Limited