Hierarchical regularizers for mixed-frequency vector autoregressions

Research output: Working paper / PreprintWorking paper


Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observations per low-frequency period grow, MF-VARs suffer from the "curse of dimensionality". We curb this curse through a regularizer that permits various hierarchical sparsity patterns by prioritizing the inclusion of coefficients according to the recency of the information they contain. Additionally, we investigate the presence of nowcasting relations by sparsely estimating the MF-VAR error covariance matrix. We study predictive Granger causality relations in a MF-VAR for the U.S. economy and construct a coincident indicator of GDP growth.
Original languageEnglish
PublisherCornell University - arXiv
Number of pages32
Publication statusPublished - 2021

Publication series


JEL classifications

  • c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"


  • mixed-frequencies
  • vector autoregressions
  • high-dimensionality
  • group lasso
  • variable selection
  • coincident indicators

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