scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …

estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions …. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation …

but compares well to alternative mixed frequency factor estimation procedures in terms of theoretical properties, finite …

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …