Mixed frequency structural vector auto-regressive models

DOI10.1111/RSSA.12120MaRDI QIDQ6660627

Claudia Foroni, Massimiliano Marcellino

Publication date: 10 January 2025

Published in: Journal of the Royal Statistical Society. Series A. Statistics in Society (Search for Journal in Brave)

zbMATH Keywords

identificationestimationtemporal aggregationimpulse response functionmixed frequency datastructural vector auto-regression

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (1)

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

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