Identification and Estimation of Structural Var Models with Mixed Frequency Data: a Moment-Based Approach

In the analysis of the co-movements between economic series, working with variables sampled at different frequency is a common situation. In the last decade, the researchers try to implement different econometric solutions to use all the information in mixed frequency datasets. As demonstrated in the literature, referring to mixed frequency data allows to mitigate possible problems of identification, estimation and interpretation of the co-movements between different variables. One of the proposed approaches considers the general idea of extend the VAR methodology to mixed frequency data. In this discussion we present a novel procedure for the estimation of Structural MF-VAR processes, by referring to Classical Minimum Distance estimation.