Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210050 
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 2014/01
Publisher: 
Norges Bank, Oslo
Abstract: 
A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the identification issues, and yield more reliable responses to shocks. The problems and possible remedy are illustrated analytically and with both simulated and actual data.
Subjects: 
structural VAR
temporal aggregation
mixed frequency data
identification
estimation
impulse response function
JEL: 
C32
C43
E32
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-784-1
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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