Advanced Search
MyIDEAS: Login

Mixed frequency structural models: estimation, and policy analysis

Contents:

Author Info

  • Claudia Foroni

    ()
    (Norges Bank (Central Bank of Norway))

  • Massimiliano Marcellino

    (European University Institute, Bocconi University and CEPR)

Abstract

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 identfication problems, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the identfication issues, and yield more reliable policy conclusions. The problems and possible remedy are illustrated in the context of standard structural monetary policy models.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2013/WP-201315/
Download Restriction: no

Bibliographic Info

Paper provided by Norges Bank in its series Working Paper with number 2013/15.

as in new window
Length: 43 pages
Date of creation: 11 Jun 2013
Date of revision:
Handle: RePEc:bno:worpap:2013_15

Contact details of provider:
Postal: Postboks 1179 Sentrum, 0107 Oslo
Phone: +47 22 31 60 00
Fax: +47 22 41 31 05
Email:
Web page: http://www.norges-bank.no/
More information through EDIRC

Related research

Keywords: Structural VAR; DSGE models; temporal aggregation; mixed frequency data; estimation. policy analysis;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bno:worpap:2013_15. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.