# Missing data and BVAR model ''a la Sims'' **URL:** \ **Category:** BVAR\ **Created:** [22 June 2018 20:14 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033 "2018-06-22T20:14:43Z")\ **Posts on this page:** 13\ **Page:** 1
**Author:** ![salo](https://forum.dynare.org/letter_avatar_proxy/v4/letter/s/ecc23a/32.png) [@salo](https://forum.dynare.org/u/salo)\ **Post date:** [22 June 2018 20:14 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/1 "2018-06-22T20:14:43Z")
Dear all, I want to ask how to estimate the density of the BVAR model in Dynare when we have missing data (I use Mixed Frequency). I would like to use this to compare with the DSGE model. I know that Dynare can not calculate the density of the BVAR model if there is missing data. 1. Is there another solution? 2. Can we use smoothed variables as observation data? For example, if the observation equation is as follows: y\_obs = y + y (-1) + y (-2) + y (-3) Can we use y (smoothed) as observation data? Thanks in advance. salo. ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [23 June 2018 07:26 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/2 "2018-06-23T07:26:35Z")
There are mixed frequency VARs: Eraker, Bjørn, Ching Wai (Jeremy) Chiu, Andrew T. Foerster, Tae Bong Kim, and Hernán D. Seoane (2015). “Bayesian Mixed Frequency VARs”. Journal of Financial Econometrics 13 (3), 698–721. We use that approach in Born/Pfeifer (2017) [“Uncertainty-driven business cycles: assessing the markup channel”.](http://www.benjaminborn.de/pdf/BornPfeifer2017_WP.pdf) ---
**Author:** ![salo](https://forum.dynare.org/letter_avatar_proxy/v4/letter/s/ecc23a/32.png) [@salo](https://forum.dynare.org/u/salo)\ **Post date:** [23 June 2018 15:57 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/3 "2018-06-23T15:57:44Z")
Thanks Johannes for your reply. Can we apply it in Dynare? If yes, how? If not, should we use a particular code or program? I have seen your paper and paper referred to, I think it needs to build a code. I found a code for the mixed frequency VAR for estimating Ghysels (2012) ([[http://www2.kobe-u.ac.jp/~motegi/MFVAR\_toolbox.zip](http://www2.kobe-u.ac.jp/~motegi/MFVAR_toolbox.zip)]) but not BVAR. If you can provide me the code I would be grateful. Thanks again ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [25 June 2018 17:43 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/4 "2018-06-25T17:43:46Z")
I have to clean up the code a bit and then should be able to provide you with it. It’s Matlab-based. ---
**Author:** ![salo](https://forum.dynare.org/letter_avatar_proxy/v4/letter/s/ecc23a/32.png) [@salo](https://forum.dynare.org/u/salo)\ **Post date:** [25 June 2018 18:48 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/5 "2018-06-25T18:48:34Z")
OK, Thank you very much Dear Johannes. ---
**Author:** ![salo](https://forum.dynare.org/letter_avatar_proxy/v4/letter/s/ecc23a/32.png) [@salo](https://forum.dynare.org/u/salo)\ **Post date:** [8 July 2018 08:48 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/6 "2018-07-08T08:48:19Z")
Sorry for any inconvenience sir @jpfeifer I just want to remind you of the code because I need it very soon. Thank you again. ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [9 July 2018 20:47 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/7 "2018-07-09T20:47:24Z")
Please send me an email ---
**Author:** ![salo](https://forum.dynare.org/letter_avatar_proxy/v4/letter/s/ecc23a/32.png) [@salo](https://forum.dynare.org/u/salo)\ **Post date:** [10 July 2018 09:48 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/8 "2018-07-10T09:48:18Z")
[saloom620@yahoo.com](mailto:saloom620@yahoo.com) ---
**Author:** ![NelsonChen](https://forum.dynare.org/letter_avatar_proxy/v4/letter/n/47e85d/32.png) [@NelsonChen](https://forum.dynare.org/u/NelsonChen)\ **Post date:** [22 January 2019 07:22 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/9 "2019-01-22T07:22:25Z")
Dear Johannes, I met the same problems as Salo. I was really appreciate if you could share the codes to me. This is my email: [chteng23@163.com](mailto:chteng23@163.com) ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [22 January 2019 11:05 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/10 "2019-01-22T11:05:07Z")
I sent the code to you. ---
**Author:** ![tmoursi](https://forum.dynare.org/letter_avatar_proxy/v4/letter/t/9de0a6/32.png) [@tmoursi](https://forum.dynare.org/u/tmoursi)\ **Post date:** [13 June 2021 03:47 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/11 "2021-06-13T03:47:32Z")
Dear Professor Pfeifer I’d appreciate if you send me the code: tmoursi@feps.edu.eg Thanks in advance ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [13 June 2021 07:54 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/12 "2021-06-13T07:54:39Z")
The paper has been published: [Uncertainty‐driven business cycles: Assessing the markup channel | Born | Quantitative Economics](https://qeconomics.org/ojs/index.php/qe/article/view/1582) You can find the replication files there. ---
**Author:** ![tmoursi](https://forum.dynare.org/letter_avatar_proxy/v4/letter/t/9de0a6/32.png) [@tmoursi](https://forum.dynare.org/u/tmoursi)\ **Post date:** [13 June 2021 14:21 UTC](https://forum.dynare.org/t/missing-data-and-bvar-model-a-la-sims/12033/13 "2021-06-13T14:21:51Z")
Dear Professor Pfeifer Thanks very much.