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- Title
MIXED-FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS.
- Authors
Foroni, Claudia; Marcellino, Massimiliano
- Abstract
SUMMARY 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. Copyright © 2014 John Wiley & Sons, Ltd.
- Subjects
ECONOMIC models; ESTIMATION theory; MATHEMATICAL models of monetary policy; COMPUTABLE general equilibrium models; DATA flow computing
- Publication
Journal of Applied Econometrics, 2014, Vol 29, Issue 7, p1118
- ISSN
0883-7252
- Publication type
Article
- DOI
10.1002/jae.2396