I have a daily time series data (independent variable) but the dependent variable only changes weekly. I.e if we have $N$ observations for the independent variable we only $N/7$ observations for the dependent variable, since the dependent variable stays constant for one week. It may be also important to mention that the independent variable exhibits very strong autocorrelation

  • $\begingroup$ Would it not make sense to just replace the original time series by the series consisting just of the first day of every week and its value? If the value of the dependent variable remains constant every week, there is no information contained in the 6 latter days data of a week. $\endgroup$ – Wolfgang Spindeler Jun 6 at 21:27

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