A Practitioner's Guide and MATLAB Toolbox for Mixed Frequency State Space Models
The use of mixed frequency data is now common in many applications, ranging from the analysis of high frequency financial time series to large cross-sections of macroeconomic time series. In this article, we show how state space methods can easily facilitate both estimation and inference in these se...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2022-10-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/3602 |