Dynamic regressions with variables observed at different frequencies

Author

Tilak ABEYSINGHE, National University of Singapore
Anthony S. TAY, Singapore Management UniversityFollow

Publication Type

Working Paper

Version

publishedVersion

Publication Date

1-2000

Abstract

We consider the problem of formulating and estimating dynamic regression models with variables observed at different frequencies. The strategy adopted is to define the dynamics of the model in terms of the highest available frequency, and to apply certain lag polynomials to transform the dynamics so that the model is expressed solely in terms of observed variables. A general solution is provided for models with monthly and quarterly observations. We also show how the methods can be extended to models with quarterly and annual observations, and models combining monthly and annual observations.

Keywords

Variables of different frequencies, dynamic regressions, temporal aggregation, systematic sampling, lag polynomials, serial correlation

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

22

Citation

ABEYSINGHE, Tilak and TAY, Anthony S.. Dynamic regressions with variables observed at different frequencies. (2000). 1-22.
Available at: https://ink.library.smu.edu.sg/soe_research/1902

Copyright Owner and License

Authors

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.