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mpiktas
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There are two quick and dirty solutions. First would be to disaggregate series B to weekly values (R package tempdisagg is great for that) and then do a usual model. Second aggregate series A to monthly frequency, do a forecast and then use disaggregation on the forecast.

The more theoretical approach would be casting problem to a state space model. There are a lot of literature on state space model approach when the dependent variable is observed at lower frequency. It usually assumes that the low frequency variable is really a high frequency variable observed at low frequency periods. You can make the same assumption and then reverse the methodology. Unfortunately I have not seen something similar being done, but I did not look hard enough.

Concerning midasr, I can say that it was designed to work when the dependent variable is observed at the lowest frequency. The reverse situation was not seriously considered.

There are two quick and dirty solutions. First would be to disaggregate series B to weekly values (R package tempdisagg is great for that) and then do a usual model. Second aggregate series A to monthly frequency, do a forecast and then use disaggregation on the forecast.

The more theoretical approach would be casting problem to a state space model. There are a lot of literature on state space model approach when the dependent variable is observed at lower frequency. It usually assumes that the low frequency variable is really a high frequency variable observed at low frequency periods. You can make the same assumption and then reverse the methodology. Unfortunately I have not seen something similar being done, but I did not look hard enough.

There are two quick and dirty solutions. First would be to disaggregate series B to weekly values (R package tempdisagg is great for that) and then do a usual model. Second aggregate series A to monthly frequency, do a forecast and then use disaggregation on the forecast.

The more theoretical approach would be casting problem to a state space model. There are a lot of literature on state space model approach when the dependent variable is observed at lower frequency. It usually assumes that the low frequency variable is really a high frequency variable observed at low frequency periods. You can make the same assumption and then reverse the methodology. Unfortunately I have not seen something similar being done, but I did not look hard enough.

Concerning midasr, I can say that it was designed to work when the dependent variable is observed at the lowest frequency. The reverse situation was not seriously considered.

Source Link
mpiktas
  • 35.4k
  • 6
  • 89
  • 145

There are two quick and dirty solutions. First would be to disaggregate series B to weekly values (R package tempdisagg is great for that) and then do a usual model. Second aggregate series A to monthly frequency, do a forecast and then use disaggregation on the forecast.

The more theoretical approach would be casting problem to a state space model. There are a lot of literature on state space model approach when the dependent variable is observed at lower frequency. It usually assumes that the low frequency variable is really a high frequency variable observed at low frequency periods. You can make the same assumption and then reverse the methodology. Unfortunately I have not seen something similar being done, but I did not look hard enough.