Macroeconomics and the reality of mixed frequency data
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Publication:726586
DOI10.1016/J.JECONOM.2016.04.008zbMATH Open1431.62377OpenAlexW3123321000MaRDI QIDQ726586FDOQ726586
Authors: Eric Ghysels 
Publication date: 12 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.008
Recommendations
- Mixed-frequency vector autoregressive models
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (39)
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- Econometric modeling at mixed frequencies
- Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
- Nowcasting with large Bayesian vector autoregressions
- Nowcasting the output gap
- Nowcasting in a pandemic using non-parametric mixed frequency VARs
- The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
- Title not available (Why is that?)
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Forecasting data revisions of GDP: a mixed frequency approach
- Testing for Granger causality in large mixed-frequency VARs
- A MIDAS approach to modeling first and second moment dynamics
- A computationally efficient method for vector autoregression with mixed frequency data
- Monetary, fiscal and oil shocks: evidence based on mixed frequency structural FAVARs
- The econometric analysis of mixed frequency data sampling
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Panel data nowcasting
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- A mixed frequency approach for stock returns and valuation ratios
- Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Mixed-frequency vector autoregressive models
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Testing for deterministic seasonality in mixed-frequency VARs
- Exact discrete representations of linear continuous time models with mixed frequency data
- Measuring the effects of expectations shocks
- Computationally efficient inference in large Bayesian mixed frequency VARs
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Estimation of vector error correction models with mixed-frequency data
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Measuring, mapping, and uncertainty quantification in the space-time cube
- Diffusion index model specification and estimation using mixed frequency datasets
- Reverse restricted MIDAS model with application to US interest rate forecasts
- A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Model estimation, prediction, and signal extraction for nonstationary stock and flow time series observed at mixed frequencies
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