Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2004
Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series … develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information … interpolation but again be reduced with multivariate approaches, including factor-based ones. …