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Working Paper
Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables
This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable), (iii) the data-generating process (DGP) is given by a VAR model at the frequency of the shock, and (iv) the full set of relevant endogenous variables entering the DGP is unknown or unobserved. Consistency and asymptotic normality of the proposed MFDL estimators is established, and their small-sample ...
Working Paper
Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks
This paper proposes mean group and pooled estimators of impulse responses based on mixed-frequency auxiliary distributed lag (DL), autoregressive distributed lag (ARDL) or vector autoregressive distributed lag (VARDL) estimating equations. Our setup assumes that the data are generated by a high-frequency VAR process. While the shock of interest is directly observed at high frequency, the outcome variable is only observed as a temporally aggregated variable at a lower frequency. We derive the asymptotic distributions of the six proposed estimators. Monte Carlo experiments show that pooled ...