estimation: monthly model vs quarterly data
Posted:
Sat Oct 01, 2011 10:35 pmby jduras
Hi,
I was wondering, is there is a way in Dynare to estimate parameters of a monthly model if the data that I try to match are quarterly time series?
Thanks!
Jan
Re: estimation: monthly model vs quarterly data
Posted:
Wed Oct 19, 2011 8:14 amby SébastienVillemot
Yes, here is a broad outline of the solution (I have not tested it but I think it works):
- create a monthly dataset to be used for the Dynare estimation command
- if you have some observable vars on a monthly basis, enter them in the dataset in the normal way
- for the observables which you have on a quarterly basis, enter them only for the months of March, June, September and December, and leave NaN in the other months
- in your model, create new variables and equations for the quarterly variables (for example: GDP_QUARTERLY=GDP_MONTHLY+GDP_MONTHLY(-1)+GDP_MONTHLY(-2);)
- when you run the estimation, Dynare is able to nicely handle the missing values in the dataset
Hope this helps,