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Dynamic Regressions with Variables Observed at Different Frequencies

Author

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  • Tilak Abeysinghe

    (National University of Singapore)

  • Anthony S. Tay

    (National University of Singapore)

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.

Suggested Citation

  • Tilak Abeysinghe & Anthony S. Tay, 2000. "Dynamic Regressions with Variables Observed at Different Frequencies," Econometric Society World Congress 2000 Contributed Papers 0752, Econometric Society.
    • Handle: RePEc:ecm:wc2000:0752
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    References listed on IDEAS

    as
    1. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
    2. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
    3. Abeysinghe, Tilak, 1998. "Forecasting Singapore's quarterly GDP with monthly external trade," International Journal of Forecasting, Elsevier, vol. 14(4), pages 505-513, December.
    4. Abeysinghe, Tilak, 2000. "Modeling variables of different frequencies," International Journal of Forecasting, Elsevier, vol. 16(1), pages 117-119.
    5. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
    6. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    Full references (including those not matched with items on IDEAS)

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