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November/December 2010, 
Vol. 92, No. 6
Posted 2010-11-01

Forecasting with Mixed Frequencies

by Michelle T. Armesto, Kristie M. Engemann, and Michael T. Owyang

A dilemma faced by forecasters is that data are not all sampled at the same frequency. Most macroeconomic data are sampled monthly (e.g., employment) or quarterly (e.g., GDP). Most financial variables (e.g., interest rates and asset prices), on the other hand, are sampled daily or even more frequently. The challenge is how to best use available data.