Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series.

  title={Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series.},
  author={Alex Tank and Emily B. Fox and Ali Shojaie},
  volume={106 2},
Causal inference in multivariate time series is challenging because the sampling rate may not be as fast as the time scale of the causal interactions, so the observed series is a subsampled version of the desired series. Furthermore, series may be observed at different sampling rates, yielding mixed-frequency series. To determine instantaneous and lagged effects between series at the causal scale, we take a model-based approach that relies on structural vector autoregressive models. We present… 

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