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FK83 / bvarsv

Analysis of the Primiceri (REStud, 2005) model
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Missing Values #6

Closed dsg27 closed 5 years ago

dsg27 commented 5 years ago

Thank you so much for this interesting package.

Is there a way of being able to use bvar.sv.tvp when dealing with datasets with missing values?

Best wishes,

David

FK83 commented 5 years ago

Unfortunately, no. While this seems doable in principle, I haven't seen a variant of the Primiceri model that addresses missing values. Perhaps methods from the mixed frequency literature (such as Eraker et al., Journal of Financial Econometrics, 2015, https://academic.oup.com/jfec/article-abstract/13/3/698/2503201) could be of use here.

Best wishes, Fabian