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A new approach for estimating VAR systems in the mixed-frequency case
Statistical Papers ( IF 1.3 ) Pub Date : 2018-02-03 , DOI: 10.1007/s00362-018-0985-1
Lukas Koelbl 1 , Manfred Deistler 2
Affiliation  

In this paper we present a new estimation procedure named MF-IVL for VAR systems in the case of mixed-frequency data, where the data maybe, e.g., stock or flow data. The main idea of this new procedure is to project the slow components on the present and past fast ones in order to create instrumental variables. This procedure is shown to be generically consistent. Our claim is that the procedure is fast and more accurate when compared to the extended Yule-Walker procedure. A comparison of these two procedures is given by simulation.

中文翻译:

一种在混合频率情况下估计 VAR 系统的新方法

在本文中,我们提出了一种新的估计程序,称为 MF-IVL,适用于混合频率数据的 VAR 系统,其中数据可能是存量或流量数据。这个新程序的主要思想是将慢分量投影到现在和过去的快分量上,以创建工具变量。该过程被证明是大体一致的。我们的主张是,与扩展的 Yule-Walker 程序相比,该程序更快、更准确。通过仿真给出了这两种程序的比较。
更新日期:2018-02-03
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