How to estimate the MF-VAR model in Winrats?

Discussion of State Space and Dynamic Stochastic General Equilibrium Models
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hardmann
Posts: 247
Joined: Sat Feb 26, 2011 9:49 pm

How to estimate the MF-VAR model in Winrats?

Unread post by hardmann »

Dear Tom:


The MF-VAR model is cast in state-space form. How to estimate the MF-VAR model in Winrats? In econometric softwares, Winrats' SSF is very powerful and easy to use, why are there no related subroutines or examples? Even in the e-course of SSF or VAR, there are no relevant examples?

Best Regard
Hardmann
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TomDoan
Posts: 7777
Joined: Wed Nov 01, 2006 4:36 pm

Re: How to estimate the MF-VAR model in Winrats?

Unread post by TomDoan »

Mariano and Murasawa(2003) and Arouba, Diebold and Scotti(2009) are examples of state-space models with mixed frequency data. MM has quarterly and monthly, while ADS (which is much more complicated) has daily, weekly and quarterly data.
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hardmann
Posts: 247
Joined: Sat Feb 26, 2011 9:49 pm

Re: How to estimate the MF-VAR model in Winrats?

Unread post by hardmann »

Thanks Tom
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