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Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case

In: Dynamic Factor Models

Author

Listed:
  • Lukas Koelbl
  • Alexander Braumann
  • Elisabeth Felsenstein
  • Manfred Deistler

Abstract

This paper is concerned with estimation of the parameters of a high-frequency VAR model using mixed-frequency data, both for the stock and for the flow case. Extended Yule–Walker estimators and (Gaussian) maximum likelihood type estimators based on the EM algorithm are considered. Properties of these estimators are derived, partly analytically and by simulations. Finally, the loss of information due to mixed-frequency data when compared to the high-frequency situation as well as the gain of information when using mixed-frequency data relative to low-frequency data is discussed.

Suggested Citation

  • Lukas Koelbl & Alexander Braumann & Elisabeth Felsenstein & Manfred Deistler, 2016. "Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 43-73, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320150000035002
    DOI: 10.1108/S0731-905320150000035002
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    Citations

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    Cited by:

    1. Feng-Li Lin & Mei-Chih Wang, 2019. "Does economic growth cause military expenditure to go up? Using MF-VAR model," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 3097-3117, November.
    2. Lukas Koelbl & Manfred Deistler, 2020. "A new approach for estimating VAR systems in the mixed-frequency case," Statistical Papers, Springer, vol. 61(3), pages 1203-1212, June.
    3. Deistler, Manfred & Koelbl, Lukas & Anderson, Brian D.O., 2017. "Non-identifiability of VMA and VARMA systems in the mixed frequency case," Econometrics and Statistics, Elsevier, vol. 4(C), pages 31-38.

    More about this item

    Keywords

    Dynamic models; EM estimation method; extended Yule-Walker equations; Mixed frequency data; C18; C38;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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