How to estimate the MF-VAR model in Winrats?

[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

[TomDoan]

For a (fairly complicated) example, see Arouba, Diebold and Scotti(2009) which has daily, weekly and quarterly data.

[hardmann]

Dear Tom:


Is it MF-DFM or MF-VAR?

Best Regard
Hardmann

[TomDoan]

It's a mixed frequency state-space model.