Norges Bank

Working Paper

Mixed frequency structural VARs

By Claudia Foroni and Massimiliano Marcellino
Working Paper


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.

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ISSN 1502-8143 (online)

Published 13 January 2014 10:45
Published 13 January 2014 10:45