Mixed frequency structural VARs

Claudia Foroni and Massimiliano Marcellino

No 2014/01, Working Paper from Norges Bank

Abstract: 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.

Keywords: Phillips curve; neoclassical; indexation; trend inflation; regime switch (search for similar items in EconPapers)
JEL-codes: C32 C43 E32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2014-01-13
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2014_01

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