Abstract

http://ssrn.com/abstract=2069998
 
 

Citations (2)



 


 



Macroeconomics and the Reality of Mixed Frequency Data


Eric Ghysels


University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

May 29, 2012


Abstract:     
Many time series are sampled at different frequencies. When we study co-movements between such series we usually analyze the joint process sampled at a common low frequency. This has consequences in terms of potentially mis-specifying the comovements and hence the analysis of impulse response functions - a commonly used tool for economic policy analysis. We introduce a class of mixed frequency VAR models that allows us to measure the impact of high frequency data on low frequency and vice versa. Our approach does not rely on latent processes/shocks representations. As a consequence, the mixed frequency VAR is an alternative to commonly used state space models for mixed frequency data. State space models are parameter-driven whereas mixed frequency VAR models are observation-driven models as they are formulated exclusively in terms of observable data and do not involve latent processes as well as shocks and thus avoid the need to formulate measurement equations, filtering etc. We also propose various parsimonious parameterizations, in part inspired by recent work on MIDAS regressions. We also explicitly characterize the mis-specification of a traditional common low frequency VAR and its implied mis-specified impulse response functions. The class of mixed frequency VAR models can also characterize the timing of information releases for a mixture of sampling frequencies and the real-time updating of predictions caused by the flow of high frequency information. Various estimation procedures for mixed frequency VAR models are also proposed, both classical and Bayesian. Numerical and empirical examples quantify the consequences of ignoring mixed frequency data.

Number of Pages in PDF File: 51

Keywords: MIDAS regressions, Bayesian VAR models

JEL Classification: C10, C22, E17

working papers series


Download This Paper

Date posted: May 29, 2012  

Suggested Citation

Ghysels, Eric, Macroeconomics and the Reality of Mixed Frequency Data (May 29, 2012). Available at SSRN: http://ssrn.com/abstract=2069998 or http://dx.doi.org/10.2139/ssrn.2069998

Contact Information

Eric Ghysels (Contact Author)
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )
Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)
HOME PAGE: http://www.unc.edu/~eghysels/
Feedback to SSRN


Paper statistics
Abstract Views: 1,614
Downloads: 495
Download Rank: 30,444
Citations:  2
People who downloaded this paper also downloaded:
1. Systemic Risk and the Macroeconomy: An Empirical Evaluation
By Stefano Giglio, Bryan Kelly, ...

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.375 seconds