EconPapers    
Economics at your fingertips  
 

Dynamic Regressions with Variables Observed at Different Frequencies

Tilak Abeysinghe () and Anthony S Tay ()

No 752, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: We consider the problem of formulating and estimating dynamic regression models with variables observed at different frequencies. The strategy adopted is to define the dynamics of the model in terms of the highest available frequency, and to apply certain lag polynomials to transform the dynamics so that the model is expressed solely in terms of observed variables. A general solution is provided for models with monthly and quarterly observations. We also show how the methods can be extended to models with quarterly and annual observations, and models combining monthly and annual observations.

Date: 2000-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/0752.pdf main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:0752

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2020-09-22
Handle: RePEc:ecm:wc2000:0752