Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks

Federal Reserve Bank of Dallas, Working Papers 2026

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Authors: Federal Reserve Bank of Dallas, Alexander Chudik, Lutz Kilian, Federal Reserve Bank of Dallas
DOI: 10.24149/wp2603
Cited by: 1
References: 27

Abstract

This paper proposes mean group and pooled estimators of impulse responses based on mixed-frequency auxiliary distributed lag (DL), autoregressive distributed lag (ARDL) or vector autoregressive distributed lag (VARDL) estimating equations.

Fields of Study & Subjects

Aerodynamics and Acoustics in Jet Flows Control Systems and Identification Radar Systems and Signal Processing

Publication details

Journal / source
Federal Reserve Bank of Dallas, Working Papers
Publisher
Federal Reserve Bank of Dallas
Volume
2026
Issue
2603
Publication date
1 February 2026