mixed frequency model

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hardmann
Posts: 252
Joined: Sat Feb 26, 2011 9:49 pm

mixed frequency model

Unread post by hardmann »

Dear Tom:

It is popular for mixed frequency model now. Eviews 9.5 give the exampal of Armsto, Engemann, and Owyang, 2010, Forecasting with mixed frequencies. Eric Ghysels and his fellows put forward to MIDAS model and toolsbox of Matlab and R. Could Rats support mixed frequency model?

Best Regard.

Hardmann
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: mixed frequency model

Unread post by TomDoan »

Have you looked at Aruoba-Diebold-Scotti? That has weekly, monthly and quarterly data.
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