Newbie here to forecasting and I have a very basic question. I have 2 distinct time-series data.
- Time Series A is Weekly (High frequency)
- Time Series B is Monthly (Low frequency)
I need to forecast A using B.
I looked at Armesto & colleagues' paper on forecasting with mixed frequencies and am also looking at the midasr user guide. Both talk about forecasting a low frequency variable with a high frequency one.
But can the same approach be used for forecasting weekly data using monthly time-series data? Unfortunately, the data that is available to me is in that format.
From what I understood, I'm pretty sure it can be done, but was hoping someone can confirm. Also, is there anything major I need to watch out for while running this forecast?