Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables

DOI10.1080/07350015.2021.1889567zbMATH Open1547.62682MaRDI QIDQ6620919

Georgios Georgiadis, Alexander Chudik

Publication date: 17 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Macroeconomics and the reality of mixed frequency data
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Estimating impulse response functions when the shock series is observed
• Mixed-Frequency Vector Autoregressive Models
• Structural Vector Autoregressive Analysis
• Mixed frequency structural vector auto-regressive models

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