Sunday, January 27, 2019

Mixed-Frequency Big Data

Of course I have blogged on this earlier, e.g. here and here, and I am a fan. The latest is Andreou, Gagliardini, Ghysels, and Rubin, "Inference in Group Factor Models with an Application to Mixed Frequency Data". The latest revision, available here, is now forthcoming in Econometrica.

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