Mixed-frequency structural models: identification, estimation, and policy analysis

Citation
Foroni, Claudia et Marcellino, Massimiliano, Mixed-frequency structural models: identification, estimation, and policy analysis, Journal of applied econometrics , 29(7), 2014, pp. 1118-1144
ISSN journal
08837252
Volume
29
Issue
7
Year of publication
2014
Pages
1118 - 1144
Database
ACNP
SICI code
Abstract
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems, estimation bias, and distortions in policy analysis. We propose an estimation strategy based on mixed-frequency data to alleviate these shortcomings. The virtues of our approach are explored for two monetary policy models.