I had a follow-up question to my earlier one regarding mixed frequency, but I thought this would be better as a separate question/thread.
Background: One of the shock processes in the model represents the price of oil. It is exogenous to my model (the price of oil is not determined by the model).
I have monthly data on the price of oil.
Question: Is it advisable, in general, to avoid specifying one of your varobs that is also specified by an exogenous process in your model? Would this deteriorate the estimation results? I have a fairly good mix of endogenous variables as varobs, but I was wondering about including variables determined by an AR process such as government spending shocks and oil price shocks (which I happen to have relevant data for).
Again, any help is appreciated.