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

Koelbl, Lukas; Braumann, Alexander; Felsenstein, Elisabeth and Deistler, Manfred (2016) Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case. Advances in Econometrics, 35, pp. 43-73.

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Abstract or Table of Contents

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.

Item Type: Article in Academic Journal
Keywords: Dynamic models; EM estimation method; Extended Yule-Walker equations; Mixed frequency data;
Classification Codes (e.g. JEL): C18; C38
Research Units: Macroeconomics and Economic Policy
Status: Published
Date Deposited: 02 Jun 2020 09:56
Last Modified: 02 Jun 2020 09:56
Identification Number or DOI: 10.1108/S0731-905320150000035002
ISSN: 0731-9053
URI: https://irihs.ihs.ac.at/id/eprint/5344

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