IDEAS home Printed from https://ideas.repec.org/h/eme/aecozz/s0731-9053(2013)0000031007.html
   My bibliography  Save this book chapter

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

In: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims

Author

Listed:
  • Claudia Foroni
  • Eric Ghysels
  • Massimiliano Marcellino

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.

Suggested Citation

  • Claudia Foroni & Eric Ghysels & Massimiliano Marcellino, 2013. "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," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 247-272, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(2013)0000031007
    DOI: 10.1108/S0731-9053(2013)0000031007
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2013)0000031007/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2013)0000031007/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2013)0000031007/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S0731-9053(2013)0000031007
    Download Restriction: no
    File URL: https://libkey.io/10.1108/S0731-9053(2013)0000031007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Mixed-frequency data; mixed-frequency VAR; MIDAS; nowcasting; forecasting; E37; C53;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:aecozz:s0731-9053(2013)0000031007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.