Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables
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- Chudik, Alexander & Georgiadis, Georgios, 2019. "Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables," Working Paper Series 2307, European Central Bank.
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More about this item
KeywordsMixed frequencies; temporal aggregation; impulse response functions; estimation and inference; VAR models;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2019-04-22 (Econometrics)
- NEP-ETS-2019-04-22 (Econometric Time Series)
- NEP-ICT-2019-04-22 (Information & Communication Technologies)
- NEP-ORE-2019-04-22 (Operations Research)
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