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- Sun Dec 06, 2015 3:05 pm
- Forum: Estimation
- Topic: Mixing Frequency and Missing Value handling in DFModel
- Replies: 1
- Views: 3241
Mixing Frequency and Missing Value handling in DFModel
Hello, I'm trying to estimate Dynamic factor model with mixed frequency (monthly and quarterly), following Mariano and Murasawa (2002). In the model specification my signal equation would be something like below: sspace ss_5 if d_gdp = na then ss_5.append @signal d_GDP = (nrnd) else ss_5.append @sig...