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

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.