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I'm trying to find extensions for my regression and obviously would like to use PE, BV and CFO. But I've got monthly data, while all company's fundamentals are semi-annually... Can I deal with it somehow?

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What "regression" are you using??? What data do you have that only exists monthly? –  chrisaycock Dec 12 '12 at 18:59

1 Answer 1

It exists several techniques to deal with mixed-frequency data. I believe MIxed DAta Sampling is the best-known.

Eg:

  • bridge equation,
  • MIxed DAta Sampling (MIDAS) models
  • Mixed frequency VARs
  • Mixed frequency factor models
  • ...

Here is a good document on this topic: A survey of econometric methods for mixed- frequency data

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