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Mixed frequency structural vector auto-regressive models

Author

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  • Claudia Foroni
  • Massimiliano Marcellino

Abstract

type="main" xml:id="rssa12120-abs-0001"> A mismatch between the timescale of a structural vector auto-regressive 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.

Suggested Citation

  • Claudia Foroni & Massimiliano Marcellino, 2016. "Mixed frequency structural vector auto-regressive models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(2), pages 403-425, February.
    • Handle: RePEc:bla:jorssa:v:179:y:2016:i:2:p:403-425
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    File URL: http://hdl.handle.net/10.1111/rssa.2016.179.issue-2
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    Citations

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    Cited by:

    1. Alexander Chudik & Georgios Georgiadis, 2022. "Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 965-979, June.
    2. Davtyan, Karen, 2023. "Unconventional monetary policy and economic inequality," Economic Modelling, Elsevier, vol. 126(C).
    3. Haroon Mumtaz & Laura Sunder‐Plassmann, 2021. "Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 86-97, January.
    4. Máximo Camacho & Matías Pacce & Gabriel Pérez-Quirós, 2020. "Spillover effects in international business cycles," Working Papers 2034, Banco de España.
    5. Xin Sheng & Rangan Gupta, 2022. "The State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict," Sustainability, MDPI, vol. 14(18), pages 1-9, September.
    6. Luca Fanelli & Antonio Marsi, 2021. "Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks," Working Papers wp1164, Dipartimento Scienze Economiche, Universita' di Bologna.
    7. Fanelli, Luca & Marsi, Antonio, 2022. "Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks," European Economic Review, Elsevier, vol. 150(C).
    8. Consolo, Agostino & Foroni, Claudia & Martínez Hernández, Catalina, 2021. "A mixed frequency BVAR for the euro area labour market," Working Paper Series 2601, European Central Bank.

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