Bayesian Inference for the Mixed-Frequency VAR Model
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Cited by:
- Qian, Hang, 2012. "Essays on statistical inference with imperfectly observed data," ISU General Staff Papers 201201010800003618, Iowa State University, Department of Economics.
- Claudia Foroni & Massimiliano Marcellino, 2013.
"A survey of econometric methods for mixed-frequency data,"
Economics Working Papers
ECO2013/02, European University Institute.
- Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
- Seong, Byeongchan, 2020. "Smoothing and forecasting mixed-frequency time series with vector exponential smoothing models," Economic Modelling, Elsevier, vol. 91(C), pages 463-468.
- Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.
- Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
- Qian, Hang, 2016. "A computationally efficient method for vector autoregression with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 433-437.
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More about this item
Keywords
Markov mixture models; Label switching; Bayesian VAR; Mixed frequencies;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-11-14 (Econometrics)
- NEP-ETS-2011-11-14 (Econometric Time Series)
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