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A survey of econometric methods for mixed-frequency data

  • Claudia Foroni

    (Norges Bank (Central Bank of Norway))

  • Massimiliano Marcellino

    (European University Institute, Bocconi University and CEPR)

The development of models for variables sampled at di¤erent frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including bridge equations, MIxed DAta Sampling (MIDAS) models, mixed frequency VARs, and mixed frequency factor models. We also consider alternative techniques for handling the ragged edge of the data, due to asynchronous publication. Finally, we survey the main empirical applications based on alternative mixed frequency models

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File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2013/WP-201306/
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Paper provided by Norges Bank in its series Working Paper with number 2013/06.

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Length: 42 pages
Date of creation: 06 Feb 2013
Date of revision:
Handle: RePEc:bno:worpap:2013_06
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  1. Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2011. "U-MIDAS: MIDAS regressions with unrestricted lag polynomials," Discussion Paper Series 1: Economic Studies 2011,35, Deutsche Bundesbank, Research Centre.
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  7. Evans, Martin D, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," MPRA Paper 831, University Library of Munich, Germany.
  8. Roberto S. Mariano & Yasutomo Murasawa, 2010. "A Coincident Index, Common Factors, and Monthly Real GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 27-46, 02.
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  18. Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
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  20. Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 31-67.
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