Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables
冲击观测频率高于结果变量时的脉冲响应函数估计
This article proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions 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…