Dynamic regressions with variables observed at different frequencies
We consider the problem of formulating and estimating dynamic regression models with variables observed at different frequencies. The strategy adopted is to define the dynamics of the model in terms of the highest available frequency, and to apply certain lag polynomials to transform the dynamics so...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2000
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1902 https://ink.library.smu.edu.sg/context/soe_research/article/2901/viewcontent/SOEDynamic_regressions_with_variables_observed_at_different_frequencies.pdf |
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| Institution: | Singapore Management University |
| Language: | English |