Real-Time Forecasting with a Mixed-Frequency VAR
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This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to implement a
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美国国家经济研究局创建时间：
2013-12-01
