Blar i Arbeidsnotater / Working Papers på emneord "temporal aggregation"

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    • 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 ...