Thomas, Götz; Alain, Hecq; Jean-Pierre, Urbain - Graduate School of Business and Economics (GSBE), … - 2012
This paper proposes a mixed-frequency error-correction model in order to develop a regressionapproach for non-stationary variables sampled at different frequencies that are possiblycointegrated. We show that, at the model representation level, the choice of the timing betweenthe low-frequency...