We study semi-parametric inference in a Vector Autoregressive (VAR) model of order p augmented by unobservable common factors with a dynamic described by a VAR process of order q. This state-space specification is useful to define a network of interconnectedness and to measure separately the...

We examine the relationship between MIDAS regressions and the estimation of state space models applied to mixed frequency data. While in some cases the binding function is known, in general it is not, and therefore indirect inference is called for. The approach is appealing when we consider...