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A survey of econometric methods for mixed-frequency data

Listed author(s):
  • 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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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
Handle: RePEc:bno:worpap:2013_06
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