The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this paper we extend an approach based on the use of dummy variables to the well known trend plus cycle model, in a multivariate context, using both quarterly and monthly data. This procedure is applied to the Italian economy, using the variables suggested by an Italian Institution (ISAE) to provide a national dating.
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Paper provided by EconWPA in its series Econometrics with number
0502011.
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics C5 - Mathematical and Quantitative Methods - - Econometric Modeling C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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