How dose UC model and BN model run with monthly data?

[Future]

Hi Tom,
I'm new to Winrats, and are learning Unobserved Components model and Beveridge - Nelson model, mnz_restat_2003. RPF and pw_jme_2009. RPF give me a lot of inspiration.But,I find that they used quarterly data time series,if I want to run with the monthly data time series, Where I need to pay attention to ?
thank you

[TomDoan]

There's nothing about either of those models that needs adjustment for monthly rather than quarterly data.