mfvar |

Estimate a mixed frequency VAR specification.

Syntax:

var_name.mfvar(options) var_lag endog_list [@ exog_list] @hf high_freq_list

You must specify the order of the VAR by specifying the maximum lag, and then provide a list of series or groups to be used as endogenous variables.

Exogenous variables such as trends and seasonal dummies in the VAR may then be included by adding “@” followed by a list of series or groups. A constant is automatically added to the list of exogenous variables; to estimate a specification without a constant, you should use the option “noconst”.

For the higher-frequency endogenous variables, you should enter the “@hf” keyword, followed by a list of the variables. The syntax for high frequency variables is pagename\seriesname where pagename is the name of the page containing the series, and seriesname is the name of the series. Note also that series expressions are allowed, e.g. “mypage\log(x)”

Options

General options

noconst | Do not include a constant in exogenous regressors list. |

hfobs = integer | Number of low frequency regressors for each high frequency variable (default is the full number of observations based on the two frequencies, e.g., 3 for monthly data in a quarterly specification). |

bvar | Use Bayesian estimation (default is U-MIDAS). |

last | Use last-period frequency conversion (default is to use the first period). |

lambda = arg | Set the lambda overall tightness hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |

uphl = arg | Set the upsilon high-low frequency scale hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |

uplh = arg | Set the upsilon low-high frequency scale hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |

rhoh = arg | Set the rho high frequency AR(1) hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |

rhol = arg | Set the rho low frequency AR(1) hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |

initcov= (default =“umidas”) | Initial covariance estimate: U-MIDAS (“umidas”), identity matrix (“identity”) (only applicable with Bayesian estimation where “bvar” is specified). |

kappa = arg | Set the kappa exogenous tightness hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |

draws = num (default=100000) | Set the number of MCMC draws (only applicable with Bayesian estimation where “bvar” is specified). |

burn = num (default=0.1) | Set the proportion of MCMC draws to use as a burn-in (only applicable with Bayesian estimation where “bvar” is specified). |

seed = num | Set the seed for the MCMC generator (only applicable with Bayesian estimation where “bvar” is specified). |

prompt | Force the dialog to appear from within a program. |

p | Print basic estimation results. |

Examples

Cross-references

See
“Mixed Frequency VAR” for details.