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Hi,

I am trying to capture the transmission of monetary policy in India. I am willing to take into account the effect of Non Performing Assets (NPAs) on the transmission from the policy rate to bank lending rates. I have data from 2005 - 2015. But the PROBLEM is, while policy rate and bank lending rate data is monthly, NPAs are given yearly. How do I do VAR analysis here as the frequencies are different? :( :( Please help, or suggest any other method by which I can capture the effect of NPAs on the transmission rate. PLEASE.

Did you try just copying and pasting the annual series object to your monthly workfile? If you right-click the monthly workfile and select "Paste Special", you'll see a dialog that allows you to pick the type of frequency conversion you want (in this case, low to high).

Or you could go in reverse and convert everything to annual.

Probably don't want to do it in reverse to estimate a VAR with 11 observations hey Steve