Mixed-Frequency Vector Autoregressive Models

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.

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Year of publication:	2013
Authors:	Foroni, Claudia ; Ghysels, Eric ; Marcellino, Massimiliano
Published in:	VAR models in macroeconomics : new developments and applications : essays in honor of Christopher A. Sims. - Bingley, U.K. : Emerald, ISBN 978-1-78190-753-5. - 2013, p. 247-272
Subject:	VAR-Modell \| VAR model \| Theorie \| Theory \| Prognoseverfahren \| Forecasting model

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Type of publication:	Article
Language:	English
Other identifiers:	10.1108/S0731-9053(2013)0000031007 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015370832