data) between the PPP-based forecast models, and the Vector Autoregresive (VAR) ones. The VAR method has a better …

Normal-inverse Wishart prior by adding a set of auxiliary dummies in estimating a Mixed-Frequency VAR. Based on this new … “high-frequency” identification scheme, we illustrate our method by identifying uncertainty shock for the U.S. economy. As … estimating a mixed-frequency framework. The bias is amplified in case of a large mismatching between the high-frequency shock and …

“high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US … estimating a mixed-frequency framework. The bias is amplified when we identify a higher frequency shock …