User’s Guide
:
Multiple Equation Analysis
:
Mixed Frequency VAR
:
References
References
Ghysels, Eric, 2016. “Macroeconomics and the reality of mixed frequency data,”
Journal of Econometrics
, 193, 294–314.
Schorfheide, F. and Song, D, 2013. “Real-Time Forecasting with a Mixed-Frequency VAR”,
NBER Working Paper No. 19712
.