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Nowcasting Sparse Data

One of the greatest advantages to state space models is their ability to handle noisy or missing observations. However, standard methods such as those used by the New York Federal Reserve still depend on the fact that, given the frequency of the data, not too many observations are missing. We recently had the opportunity to […]

Mixed Frequency Data in Brief

What is mixed frequency data? Mixed frequency data refers to multivariate time series data in which observations a published at different intervals, or even irregular intervals. As a simple example, consider a panel of US data that includes advance retail sales, published once a month, and the Redbook index, published once a week and indexed […]