Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks

This paper proposes mean group and pooled estimators of impulse responses based on mixed-frequency auxiliary distributed lag (DL), autoregressive distributed lag (ARDL) or vector autoregressive distributed lag (VARDL) estimating equations. Our setup assumes that the data are generated by a high-frequency VAR process. While the shock of interest is directly observed at high frequency, the outcome variable is only observed as a temporally aggregated variable at a lower frequency. We derive the asymptotic distributions of the six proposed estimators. Monte Carlo experiments show that pooled estimators generally perform better than the corresponding mean group estimators for relevant sample sizes. An empirical illustration to the pass-through from daily wholesale gasoline price shocks to monthly consumer price inflation illustrates the usefulness of the proposed methods.