Götz, Thomas B.; Hecq, Alain; Urbain, Jean-Pierre - In: VAR models in macroeconomics : new developments and …, (pp. 361-393). 2013
This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the common-frequency approach introduced by Engle and Kozicki (1993) and Vahid and Engle (1993) . We start with the...
