Norges Bank

Working Paper

A survey of econometric methods for mixed-frequency data

Author:
Claudia Foroni and Massimiliano Marcellino
Series:
Working Paper
Number:
6/2013

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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ISSN 1502-8190 (online)

Published 7 February 2013 13:00
Published 7 February 2013 13:00