Questions tagged [mixed-frequency]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0
votes
0answers
5 views

How to align predictors with target variable when predictors are sampled at a lower frequency?

I have a set of models I am creating in which the target variable I am forecasting is sampled at a high frequency (daily) but the predictors are all Federal Reserve Macroeconomic variables which are ...
0
votes
0answers
33 views

Time series analysis with mixed frequency sampling. Relation of stock price behavior to quarterly publications

I'm trying to build a model that relates the price of a stock sampled daily to some predictors that are also daily sampled as well as quarterly sampled predictor, i.e. a report that includes revenue ...
0
votes
0answers
54 views

Impulse response function for MIDAS regression

Consider a MIDAS regression with a single high-frequency regressor $x_{t/m}$ that is observed $m$ times for every observatoin of a low-frequency regressand $y_t$: $$y_t= \sum_{i=1}^p \alpha_i y_{t-i}+...