Can someone give me a simple explanation of how exactly this method works.

If I have a dataset of say 10 quarters (dependent variable);

  • how should the independent variable (say monthly data) be aligned?
  • What if the quarter ends in June 2010 for example and the independent (higher frequency data) ends in August 2010.
  • $\begingroup$ Please add reference to the model, preferably by including the formula in the question or at least by mentioning a reference paper. $\endgroup$ – SRKX Sep 29 '15 at 16:49
  • $\begingroup$ The original Chow Lin 1971 paper here princeton.edu/~erp/ERParchives/archivepdfs/M124.pdf $\endgroup$ – noob2 Sep 29 '15 at 19:05

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