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- Collection: Volume 104 Tahun 2022
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A Practitioner's Guide and MATLAB Toolbox for Mixed Frequency State Space Models
The use of mixed frequency data is now common in many applications, ranging from
the analysis of high frequency financial time series to large cross-sections of macroeconomic
time series. In this article, we show how state space methods can easily…
the analysis of high frequency financial time series to large cross-sections of macroeconomic
time series. In this article, we show how state space methods can easily…