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

Claudia Foroni, Eric Ghysels and Massimiliano Marcellino

A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 247-272 from Emerald Group Publishing Limited

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: Mixed-frequency data; mixed-frequency VAR; MIDAS; nowcasting; forecasting; E37; C53 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2013)0000031007

DOI: 10.1108/S0731-9053(2013)0000031007

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