Blar i Norges Banks vitenarkiv på emneord "temporal aggregation"
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Mixed Frequency Structural Models: Estimation, and Policy Analysis
(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
(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
(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 ...