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- Wed Nov 15, 2017 6:22 am
- Forum: Estimation
- Topic: Mixed frequency state space model
- Replies: 0
- Views: 2208
Mixed frequency state space model
Hi all, I'm trying to build a mixed frequency state space model containing high frequency dependent variables (weekly) and low frequency (monthly) independent variables. However, the Kalman filter does not seem to work when I want to forecast futrue weekly values as it cannot handle 'missing values'...