Mixed-frequency series, Beveridge–Nelson decomposition

[Alepruz]

Dear Mr. Doan,

A recent paper Murasawa (2016) "The Beveridge-Nelson Decomposition of Mixed-Frequency Series: An Application to Simultaneous Measurement of Classical and Deviation Cycles", Empirical Economics

Implements a gibbs sampler to deal with mixed frequency data.

Ox code and data are available from the authors website at:
http://ymurasawa.web.fc2.com/research.html

It would be very interesting to see this procedure implemented in RATS

[TomDoan]

Unfortunately, while the model might seem interesting, the results are rather disappointing---on Figure 4, the "natural" rates are effectively reproducing the data.