Blar i Norges Banks vitenarkiv på forfatter "Guérin, Pierre"
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Using Low Frequency Information for Predicting High Frequency Variables
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano (Working Papers;13/2015, Working paper, 2015)We analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure ...