Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/182479
Authors: 
Götz, Thomas B.
Hauzenberger, Klemens
Year of Publication: 
2018
Series/Report no.: 
Bundesbank Discussion Paper 40/2018
Abstract: 
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common factor in the error variances vary over time. We can therefore estimate moderately large systems in a reasonable amount of time, which makes our modifications appealing for practical use. For eleven U.S. variables, we examine the performance of our model and compare the results to the time-constant MF-VAR of Schorfheide and Song (2015). Our results demonstrate the feasibility and usefulness of our method.
Subjects: 
Mixed Frequencies
Time-Varying Intercepts
Common Stochastic Volatility
Bayesian VAR
Forecasting
JEL: 
C32
C51
C53
ISBN: 
978-3-95729-509-5
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.