A 14-Variable Mixed-Frequency VAR Model

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Creator Series Issue number
  • 493
Date Created
  • 2013-12-19
Abstract
  • This paper describes recent modifications to the mixed-frequency model vector autoregression (MF-VAR) constructed by Schorfheide and Song (2012). The changes to the model are restricted solely to the set of variables included in the model; all other aspects of the model remain unchanged. Forecast evaluations are conducted to gauge the accuracy of the revised model to standard benchmarks and the original model.

Subject (JEL) Palavra-chave Date Modified
  • 11/18/2019
Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department
Publisher
  • Federal Reserve Bank of Minneapolis
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