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