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Specify a large BVAR with data at different frequencies #266

Open pfjulio opened 4 years ago

pfjulio commented 4 years ago

Dear Benes,

What is the best way to estimate a BVAR where some variables are at quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict (forecast) variables which are at quarterly frequency.

Many thanks.

jaromir-benes commented 4 years ago

Hi

The best way is to estimate a VAR on a quarterly frequency basis with each monthly indicator included as three separate variables, e.g. x1, x2, x3, for the first month in a quarter, the second month in a quarter, the third month in a quarter. Usually some parameter restrictions and/or dummy prior observations are needed. I will write an example for you when I have some more time.

I'm attaching two examples (of many) of the papers that set up a VAR that way (skip the more technical stuff about bayesian estimation -- not needed, this can be incorporated in a more straightforward/simpler way).

Best Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio notifications@github.com wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict (forecast) variables which are at quarterly frequency.

Many thanks.

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266, or unsubscribe https://github.com/notifications/unsubscribe-auth/AGCVKKU5EMPE4W6R6ORLC63SAEYVHANCNFSM4P27ATRQ .

pfjulio commented 4 years ago

Many thanks Jeromir. When you have the opportunity, I would be thankful if you could attach the papers you mention.

Best,

Paulo

From: Jaromír Beneš notifications@github.com Sent: 28 de agosto de 2020 16:38 To: IRIS-Solutions-Team/IRIS-Toolbox IRIS-Toolbox@noreply.github.com Cc: pfjulio pfjulio@gmail.com; Author author@noreply.github.com Subject: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

Hi

The best way is to estimate a VAR on a quarterly frequency basis with each monthly indicator included as three separate variables, e.g. x1, x2, x3, for the first month in a quarter, the second month in a quarter, the third month in a quarter. Usually some parameter restrictions and/or dummy prior observations are needed. I will write an example for you when I have some more time.

I'm attaching two examples (of many) of the papers that set up a VAR that way (skip the more technical stuff about bayesian estimation -- not needed, this can be incorporated in a more straightforward/simpler way).

Best Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio <notifications@github.com mailto:notifications@github.com > wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict (forecast) variables which are at quarterly frequency.

Many thanks.

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266, or unsubscribe https://github.com/notifications/unsubscribe-auth/AGCVKKU5EMPE4W6R6ORLC63SAEYVHANCNFSM4P27ATRQ .

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pfjulio commented 3 years ago

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different frequencies the way you mention below?

Kind regards, Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @.***> wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with each monthly indicator included as three separate variables, e.g. x1, x2, x3, for the first month in a quarter, the second month in a quarter, the third month in a quarter. Usually some parameter restrictions and/or dummy prior observations are needed. I will write an example for you when I have some more time.

I'm attaching two examples (of many) of the papers that set up a VAR that way (skip the more technical stuff about bayesian estimation -- not needed, this can be incorporated in a more straightforward/simpler way).

Best Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @.***> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict (forecast) variables which are at quarterly frequency.

Many thanks.

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266, or unsubscribe < https://github.com/notifications/unsubscribe-auth/AGCVKKU5EMPE4W6R6ORLC63SAEYVHANCNFSM4P27ATRQ

.

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jaromir-benes commented 3 years ago

HI Paulo - I attached two papers in the previous message. You didn't receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @.***> wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different frequencies the way you mention below?

Kind regards, Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @.***> wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with each monthly indicator included as three separate variables, e.g. x1, x2, x3, for the first month in a quarter, the second month in a quarter, the third month in a quarter. Usually some parameter restrictions and/or dummy prior observations are needed. I will write an example for you when I have some more time.

I'm attaching two examples (of many) of the papers that set up a VAR that way (skip the more technical stuff about bayesian estimation -- not needed, this can be incorporated in a more straightforward/simpler way).

Best Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @.***> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict (forecast) variables which are at quarterly frequency.

Many thanks.

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266, or unsubscribe <

https://github.com/notifications/unsubscribe-auth/AGCVKKU5EMPE4W6R6ORLC63SAEYVHANCNFSM4P27ATRQ

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pfjulio commented 3 years ago

I have never received them. Can you send them again?Many thanksBestPauloEnviado do meu Galaxy -------- Mensagem original --------De : Jaromír Beneš @.> Data: 17/03/21 12:41 (GMT+00:00) Para: IRIS-Solutions-Team/IRIS-Toolbox @.> Cc: pfjulio @.>, Author @.> Assunto: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

HI Paulo - I attached two papers in the previous message. You didn't

receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @.***> wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different

frequencies the way you mention below?

Kind regards,

Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @.***>

wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with

each

monthly indicator included as three separate variables, e.g. x1, x2, x3,

for the first month in a quarter, the second month in a quarter, the

third

month in a quarter. Usually some parameter restrictions and/or dummy

prior

observations are needed. I will write an example for you when I have some

more time.

I'm attaching two examples (of many) of the papers that set up a VAR that

way (skip the more technical stuff about bayesian estimation -- not

needed,

this can be incorporated in a more straightforward/simpler way).

Best

Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @.***> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at

quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict

(forecast) variables which are at quarterly frequency.

Many thanks.

—

You are receiving this because you are subscribed to this thread.

Reply to this email directly, view it on GitHub

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jaromir-benes commented 3 years ago

Hi, attaching again here. Let me know if you get them....

On Wed, Mar 17, 2021 at 2:10 PM pfjulio @.***> wrote:

I have never received them. Can you send them again?Many thanksBestPauloEnviado do meu Galaxy -------- Mensagem original --------De : Jaromír Beneš @.> Data: 17/03/21 12:41 (GMT+00:00) Para: IRIS-Solutions-Team/IRIS-Toolbox @.> Cc: pfjulio @.>, Author @.> Assunto: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

HI Paulo - I attached two papers in the previous message. You didn't

receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @.***> wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different

frequencies the way you mention below?

Kind regards,

Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @.***>

wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with

each

monthly indicator included as three separate variables, e.g. x1, x2, x3,

for the first month in a quarter, the second month in a quarter, the

third

month in a quarter. Usually some parameter restrictions and/or dummy

prior

observations are needed. I will write an example for you when I have some

more time.

I'm attaching two examples (of many) of the papers that set up a VAR that

way (skip the more technical stuff about bayesian estimation -- not

needed,

this can be incorporated in a more straightforward/simpler way).

Best

Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @.***> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at

quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict

(forecast) variables which are at quarterly frequency.

Many thanks.

—

You are receiving this because you are subscribed to this thread.

Reply to this email directly, view it on GitHub

https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266, or

unsubscribe

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pfjulio commented 3 years ago

I don't know why, but I am not getting them.

On Wed, Mar 17, 2021 at 1:29 PM Jaromír Beneš @.***> wrote:

Hi, attaching again here. Let me know if you get them....

On Wed, Mar 17, 2021 at 2:10 PM pfjulio @.***> wrote:

I have never received them. Can you send them again?Many thanksBestPauloEnviado do meu Galaxy -------- Mensagem original --------De : Jaromír Beneš @.> Data: 17/03/21 12:41 (GMT+00:00) Para: IRIS-Solutions-Team/IRIS-Toolbox @.> Cc: pfjulio @.>, Author @.> Assunto: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

HI Paulo - I attached two papers in the previous message. You didn't

receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @.***> wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different

frequencies the way you mention below?

Kind regards,

Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @.***>

wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with

each

monthly indicator included as three separate variables, e.g. x1, x2, x3,

for the first month in a quarter, the second month in a quarter, the

third

month in a quarter. Usually some parameter restrictions and/or dummy

prior

observations are needed. I will write an example for you when I have some

more time.

I'm attaching two examples (of many) of the papers that set up a VAR that

way (skip the more technical stuff about bayesian estimation -- not

needed,

this can be incorporated in a more straightforward/simpler way).

Best

Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @.***> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at

quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict

(forecast) variables which are at quarterly frequency.

Many thanks.

—

You are receiving this because you are subscribed to this thread.

Reply to this email directly, view it on GitHub

https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266, or

unsubscribe

<

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jaromir-benes commented 3 years ago

Send me pls your email address... (I only see your github account)

On Wed, Mar 17, 2021 at 2:53 PM pfjulio @.***> wrote:

I don't know why, but I am not getting them.

On Wed, Mar 17, 2021 at 1:29 PM Jaromír Beneš @.***> wrote:

Hi, attaching again here. Let me know if you get them....

On Wed, Mar 17, 2021 at 2:10 PM pfjulio @.***> wrote:

I have never received them. Can you send them again?Many thanksBestPauloEnviado do meu Galaxy -------- Mensagem original --------De : Jaromír Beneš @.> Data: 17/03/21 12:41 (GMT+00:00) Para: IRIS-Solutions-Team/IRIS-Toolbox @.> Cc: pfjulio @.>, Author @.> Assunto: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

HI Paulo - I attached two papers in the previous message. You didn't

receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @.***> wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different

frequencies the way you mention below?

Kind regards,

Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @.***>

wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with

each

monthly indicator included as three separate variables, e.g. x1, x2, x3,

for the first month in a quarter, the second month in a quarter, the

third

month in a quarter. Usually some parameter restrictions and/or dummy

prior

observations are needed. I will write an example for you when I have some

more time.

I'm attaching two examples (of many) of the papers that set up a VAR that

way (skip the more technical stuff about bayesian estimation -- not

needed,

this can be incorporated in a more straightforward/simpler way).

Best

Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @.***> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at

quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict

(forecast) variables which are at quarterly frequency.

Many thanks.

—

You are receiving this because you are subscribed to this thread.

Reply to this email directly, view it on GitHub

<https://github.com/IRIS-Solutions-Team/IRIS-Toolbox/issues/266 , or

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<

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pfjulio commented 3 years ago

Many thanks Jaromir,

@. @.>

Best

Paulo

From: Jaromír Beneš @.> Sent: 17 de março de 2021 14:50 To: IRIS-Solutions-Team/IRIS-Toolbox @.> Cc: pfjulio @.>; Author @.> Subject: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

Send me pls your email address... (I only see your github account)

On Wed, Mar 17, 2021 at 2:53 PM pfjulio @. <mailto:@.> > wrote:

I don't know why, but I am not getting them.

On Wed, Mar 17, 2021 at 1:29 PM Jaromír Beneš @. <mailto:@.> > wrote:

Hi, attaching again here. Let me know if you get them....

On Wed, Mar 17, 2021 at 2:10 PM pfjulio @. <mailto:@.> > wrote:

I have never received them. Can you send them again?Many thanksBestPauloEnviado do meu Galaxy -------- Mensagem original --------De : Jaromír Beneš @. <mailto:@.> > Data: 17/03/21 12:41 (GMT+00:00) Para: IRIS-Solutions-Team/IRIS-Toolbox @. <mailto:@.> > Cc: pfjulio @. <mailto:@.> >, Author @. <mailto:@.> > Assunto: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

HI Paulo - I attached two papers in the previous message. You didn't

receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @. <mailto:@.> > wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different

frequencies the way you mention below?

Kind regards,

Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @. <mailto:@.> >

wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with

each

monthly indicator included as three separate variables, e.g. x1, x2, x3,

for the first month in a quarter, the second month in a quarter, the

third

month in a quarter. Usually some parameter restrictions and/or dummy

prior

observations are needed. I will write an example for you when I have some

more time.

I'm attaching two examples (of many) of the papers that set up a VAR that

way (skip the more technical stuff about bayesian estimation -- not

needed,

this can be incorporated in a more straightforward/simpler way).

Best

Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @. <mailto:@.> > wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at

quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict

(forecast) variables which are at quarterly frequency.

Many thanks.

—

You are receiving this because you are subscribed to this thread.

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jaromir-benes commented 3 years ago

Oh, you need to send the email address directly to me @.*** - it is blacked out automatically in GitHub messages otherwise.

On Wed, Mar 17, 2021 at 3:52 PM pfjulio @.***> wrote:

Many thanks Jaromir,

@. @.>

Best

Paulo

From: Jaromír Beneš @.> Sent: 17 de março de 2021 14:50 To: IRIS-Solutions-Team/IRIS-Toolbox @.> Cc: pfjulio @.>; Author @.> Subject: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

Send me pls your email address... (I only see your github account)

On Wed, Mar 17, 2021 at 2:53 PM pfjulio @. <mailto:@.>

wrote:

I don't know why, but I am not getting them.

On Wed, Mar 17, 2021 at 1:29 PM Jaromír Beneš @. <mailto:@.>

wrote:

Hi, attaching again here. Let me know if you get them....

On Wed, Mar 17, 2021 at 2:10 PM pfjulio @. <mailto:@.> wrote:

I have never received them. Can you send them again?Many thanksBestPauloEnviado do meu Galaxy -------- Mensagem original --------De : Jaromír Beneš @. <mailto:@.> > Data: 17/03/21 12:41 (GMT+00:00) Para: IRIS-Solutions-Team/IRIS-Toolbox @. <mailto:@.> > Cc: pfjulio @. <mailto:@.> , Author @. <mailto:@.> > Assunto: Re: [IRIS-Solutions-Team/IRIS-Toolbox] Specify a large BVAR with data at different frequencies (#266)

HI Paulo - I attached two papers in the previous message. You didn't

receive them? Best, J

On Wed, Mar 17, 2021 at 1:28 PM pfjulio @. <mailto:@.> wrote:

Dear Jaromir,

Hope everything is well with you.

Do you have any knowledge of papers that estimate the BVAR at different

frequencies the way you mention below?

Kind regards,

Paulo

On Fri, Aug 28, 2020 at 4:38 PM Jaromír Beneš @. <mailto:@.>

wrote:

Hi

The best way is to estimate a VAR on a quarterly frequency basis with

each

monthly indicator included as three separate variables, e.g. x1, x2, x3,

for the first month in a quarter, the second month in a quarter, the

third

month in a quarter. Usually some parameter restrictions and/or dummy

prior

observations are needed. I will write an example for you when I have some

more time.

I'm attaching two examples (of many) of the papers that set up a VAR that

way (skip the more technical stuff about bayesian estimation -- not

needed,

this can be incorporated in a more straightforward/simpler way).

Best

Jaromir

On Tue, Aug 11, 2020 at 2:13 PM pfjulio @. <mailto:@.> wrote:

Dear Benes,

What is the best way to estimate a BVAR where some variables are at

quarterly frequency and others are at montly frequency?

The purpose of this would be to use monthly indicators to predict

(forecast) variables which are at quarterly frequency.

Many thanks.

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