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Forecasting with Mixed Frequencies

Resource Type
Dataset : survey data
  • Armesto, Michelle T. (Federal Reserve Bank of St. Louis)
  • Engemann, Kristie M. (Federal Reserve Bank of St. Louis)
  • Owyang, Michael T. (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
Free Keywords
economic forecasting; macroeconomics; prediction
  • Abstract

    A dilemma faced by forecasters is that data are not all sampled at the same frequency. Most macroeconomic data are sampled monthly (e.g., employment) or quarterly (e.g., GDP). Most financial variables (e.g., interest rates and asset prices), on the other hand, are sampled daily or even more frequently. The challenge is how to best use available data. To that end, the authors survey some common methods for dealing with mixed-frequency data.
  • Table of Contents


    • DS1: Dataset
Collection Mode
  • The data are distributed as a Microsoft Excel file, which provides data, tables, and figures used in the publication.

    These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

This study is freely available to the general public via web download.
Alternative Identifiers
  • 34712 (Type: ICPSR Study Number)
  • Armesto, Michelle T., Engemann, Kristie M., Owyang, Michael T.. Forecasting with mixed frequencies. Federal Reserve Bank of St. Louis Review.92, (6), 521-536.2010.
    • ID: (URL)

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-16

Armesto, Michelle T.; Engemann, Kristie M.; Owyang, Michael T. (2013): Forecasting with Mixed Frequencies. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.