Forecasting with Mixed Frequencies (ICPSR 34712)

Version Date: Jun 20, 2013

Principal Investigator(s):
Michelle T. Armesto, Federal Reserve Bank of St. Louis; Kristie M. Engemann, Federal Reserve Bank of St. Louis; Michael T. Owyang, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR34712.v1

Version V1

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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.

Subject Terms

Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

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

  2. 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.

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Original Release Date

2013-06-20

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:

  • 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

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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.

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  • ICPSR usually offers files in multiple formats for researchers to be able to access data and documentation in formats that work well within their needs. If you have questions about the accessibility of materials distributed by ICPSR or require further assistance, please visit ICPSR’s Accessibility Center.