A new approach for estimating VAR systems in the mixed-frequency case.

In this paper we present a new estimation procedure named MF-IVL for VAR systems in the case of mixed-frequency data, where the data maybe, e.g., stock or flow data. The main idea of this new procedure is to project the slow components on the present and past fast ones in order to create instrumental variables. This procedure is shown to be generically consistent. Our claim is that the procedure is fast and more accurate when compared to the extended Yule-Walker procedure. A comparison of these two procedures is given by simulation.