I have a discontinuous daily data, such as 01/01/1992 to 31/12/2012 with 4897 observations in total, but the daily stock returns only have 5 days a week and sometimes the market closed in holidays.
I want to use Dynare to estimate a Markov switching SVAR model, but the package indicates that only monthly and quarterly data can be used in MS-SVAR.
Can any expert help me with this problem?
The sample for monthly data setup is as follows:
freq=12,
initial_year=1990,
final_year=2009,
initial_subperiod=2,
final_subperiod=9,
nlags=1,
How can I use(incorporate) the discontinuous data in the MS-SVAR package in Dynare?
I am doing a thesis with this package, wish someone can help me. Thank you in advance !!