Estimation: monthly model vs quarterly data


I was wondering, is there is a way in Dynare to estimate parameters of a monthly model if the data that I try to match are quarterly time series?


Yes, here is a broad outline of the solution (I have not tested it but I think it works):

] create a monthly dataset to be used for the Dynare estimation command/:m]
] if you have some observable vars on a monthly basis, enter them in the dataset in the normal way/:m]
] for the observables which you have on a quarterly basis, enter them only for the months of March, June, September and December, and leave NaN in the other months/:m]
] in your model, create new variables and equations for the quarterly variables (for example: GDP_QUARTERLY=GDP_MONTHLY+GDP_MONTHLY(-1)+GDP_MONTHLY(-2);)/:m]
] when you run the estimation, Dynare is able to nicely handle the missing values in the dataset/:m][/ul]

Hope this helps,