Blar i Norges Banks vitenarkiv på forfatter "Marcellino, Massimiliano"

Viser treff 1-5 av 5

    • A Survey of Econometric Methods for Mixed-Frequency Data 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;6/2013, Working paper, 2013)
      The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...

    • Have Standard VARs Remained Stable Since the Crisis? 

      Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano (Working Papers;13/2014, Working paper, 2014)
      Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...

    • Mixed Frequency Structural Models: Estimation, and Policy Analysis 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;15/2013, Working paper, 2013)
      In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates ...

    • Mixed Frequency Structural VARs 

      Foroni, Claudia; Marcellino, Massimiliano (Working Papers;1/2014, Working paper, 2014)
      A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ...

    • Using Low Frequency Information for Predicting High Frequency Variables 

      Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano (Working Papers;13/2015, Working paper, 2015)
      We analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure ...