Inclusion of older annual data into time series models for recent quarterly data
This note proposes time series models for data where the frequency changes over time. As an example, for many countries, in the past, real GDP growth was observed annually and since a few years or decades, the data are available per quarter. Modifying the time series models allows for the incorporation of these older annual data, without a need for imputation. Illustrations for real GDP growth in China and the Netherlands show the merits of the method.
|autoregression, Mixed frequency, real GDP growth, time series models|
|Applied Economics Letters|
|Organisation||Department of Econometrics|
Franses, Ph.H.B.F. (2020). Inclusion of older annual data into time series models for recent quarterly data. Applied Economics Letters. doi:10.1080/13504851.2020.1866152