Norges Bank

Working Paper

Mixed frequency structural models: estimation, and policy analysis

Author:
Claudia Foroni and Massimiliano Marcellino
Series:
Working Paper
Number:
15/2013

Abstract
In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the identfication issues, and yield more reliable policy conclusions. The problems and possible remedy are illustrated in the context of standard structural monetary policy models.

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ISSN 1502-8190 (online)

Published 11 June 2013 12:30
Published 11 June 2013 12:30