Vector autoregression with varied frequency data
The Vector Autoregression (VAR) model has been extensively applied in macroeconomics. A typical VAR requires its component variables being sampled at a uniformed frequency, regardless of the fact that some macro data are available monthly and some are only quarterly. Practitioners invariably align variables to the same frequency either by aggregation or imputation, regardless of information loss or noises gain. We study a VAR model with varied frequency data in a Bayesian context. Lower frequency (aggregated) data are essentially a linear combination of higher frequency (disaggregated) data. The observed aggregated data impose linear constraints on the autocorrelation structure of the latent disaggregated data. The perception of a constrained multivariate normal distribution is crucial to our Gibbs sampler. Furthermore, the Markov property of the VAR series enables a block Gibbs sampler, which performs faster for evenly aggregated data. Lastly, our approach is applied to two classic structural VAR analyses, one with long-run and the other with short-run identification constraints. These applications demonstrate that it is both feasible and sensible to use data of different frequencies in a new VAR model, the one that keeps the branding of the economic ideas underlying the structural VAR model but only makes minimum modification from a technical perspective.
|Date of creation:||Oct 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010.
"Regression models with mixed sampling frequencies,"
Journal of Econometrics,
Elsevier, vol. 158(2), pages 246-261, October.
- Clements, Michael P & GalvÃ£o, Ana Beatriz, 2008. "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 546-554.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:34682. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.