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A survey of econometric methods for mixed-frequency data

Listed author(s):
  • Claudia Foroni
  • Massimiliano Marcellino

The development of models for variables sampled at different 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 European University Institute in its series Economics Working Papers with number ECO2013/02.

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Date of creation: 2013
Handle: RePEc:eui:euiwps:eco2013/02
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