Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/182479 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 40/2018
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Mixed Frequencies
Time-Varying Intercepts
Common Stochastic Volatility
Bayesian VAR
Forecasting
JEL: 
C32
C51
C53
ISBN: 
978-3-95729-509-5
Dokumentart: 
Working Paper
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