ICPSR Logo

This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.

Forecasting with Mixed Frequencies (ICPSR 34712)

Principal Investigator(s):

Summary:

A dilemma faced by forecasters is that data are not all sampled at the same frequency. Most macroeconomic data are sampled monthly (e.g., employment) or quarterly (e.g., GDP). Most financial variables (e.g., interest rates and asset prices), on the other hand, are sampled daily or even more frequently. The challenge is how to best use available data. To that end, the authors survey some common methods for dealing with mixed-frequency data.

Access Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

Dataset(s)

Dataset - Download All Files (1.2 MB)
Documentation:
Data:

Study Description

Citation

Armesto, Michelle T., Kristie M. Engemann, and Michael T. Owyang. Forecasting with Mixed Frequencies. ICPSR34712-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2013-06-20. http://doi.org/10.3886/ICPSR34712.v1

Persistent URL:

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote XML (EndNote X4.0.1 or higher)

Scope of Study

Subject Terms:   economic forecasting, macroeconomics, prediction

Data Collection Notes:

The data are distributed as a Microsoft Excel file, which provides data, tables, and figures used in the publication.

These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

Methodology

Version(s)

Original ICPSR Release:  

Related Publications ?

Utilities

Metadata Exports

If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.

Download Statistics

Found a problem? Use our Report Problem form to let us know.