-1
$\begingroup$

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?

$\endgroup$
  • $\begingroup$ What "regression" are you using??? What data do you have that only exists monthly? $\endgroup$ – chrisaycock Dec 12 '12 at 18:59
1
$\begingroup$

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

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.