Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210029 
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 2013/06
Publisher: 
Norges Bank, Oslo
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.
Subjects: 
VAR
MIDAS model
mixed frequency data
nowcasting
forecasting
JEL: 
E37
C53
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-723-0
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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