This chapter is organized as follows: In section 9.2, we survey the different approaches to model mixed frequency variables. In section 9.3, we discuss the additional estimation issues arising with a ragged-edge structure of the dataset. In section 9.4 we compare the main features of the different approaches. In section 9.5 we present a summary of the most significant empirical applications in this literature. Finally, in section 9.6 we summarize and conclude.
A survey of econometric methods for mixed-frequency data
Foroni, Claudia;Marcellino, Massimiliano
2017
Abstract
This chapter is organized as follows: In section 9.2, we survey the different approaches to model mixed frequency variables. In section 9.3, we discuss the additional estimation issues arising with a ragged-edge structure of the dataset. In section 9.4 we compare the main features of the different approaches. In section 9.5 we present a summary of the most significant empirical applications in this literature. Finally, in section 9.6 we summarize and conclude.
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