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1 – 3 of 3Claudia Foroni, Eric Ghysels and Massimiliano Marcellino
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and…
Abstract
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and Bayesian methods of estimating mixed-frequency VARs, and use them for forecasting and structural analysis. We also compare mixed-frequency VARs with other approaches to handling mixed-frequency data.
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