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A survey of econometric methods for mixed-frequency data

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  • Claudia Foroni
  • Massimiliano Marcellino

Abstract

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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  • Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
    • Handle: RePEc:eui:euiwps:eco2013/02
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    More about this item

    Keywords

    mixed-frequency data; mixed-frequency VAR; MIDAS; nowcasting; forecasting;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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