MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS

Claudia Foroni and Massimiliano Marcellino

Journal of Applied Econometrics, 2014, vol. 29, issue 7, 1118-1144

Abstract: The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems, estimation bias, and distortions in policy analysis. We propose an estimation strategy based on mixed‐frequency data to alleviate these shortcomings. The virtues of our approach are explored for two monetary policy models. Copyright © 2014 John Wiley & Sons, Ltd.

Date: 2014
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