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A survey of econometric methods for mixed-frequency data

Claudia Foroni and Massimiliano Marcellino

No ECO2013/02, Economics Working Papers from European University Institute

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.

Keywords: mixed-frequency data; mixed-frequency VAR; MIDAS; nowcasting; forecasting (search for similar items in EconPapers)
JEL-codes: E37 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2013
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