We discuss here a method for identifying relationships between high-frequency and lowfrequency data based on a dynamic regression technique. This allows users to estimate a quarterly analogue to an underlying monthly regression equation. The resulting equation which may be non-linear in the...

Expenditure side and income side GDP are both measured at the quarterly frequency in the US and contain measurement error. They are noisy proxies of `true’ GDP. Several econometric methods exist for producing estimates of true GDP which reconcile these noisy estimates. Recently, the authors of...

This paper focus on an analysis of the GVAR model across euro-area countries when detrending. The GVAR model accommodates cross-country as well as cross-variable dependencies among the euro-area countries. We focus on the role of cross-sectional dependence in the production of trend and cycle...

We derive monthly and quarterly series of UK GDP for the inter-war period from a set of monthly indicators that were constructed by The Economist at the time. The monthly information is complemented with data for quarterly industrial production, allowing us to employ mixed-frequency methods to...