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A new approach for estimating VAR systems in the mixed-frequency case
In this paper we present a new estimation procedure named MF-IVL for VAR systems in the case of mixed-frequency data, where the data maybe, e.g., stock or flow data. The main idea of this new procedure is to project the slow components on the present and past fast ones in order to create instrumenta...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7319404/ https://www.ncbi.nlm.nih.gov/pubmed/32624645 http://dx.doi.org/10.1007/s00362-018-0985-1 |