Linking series generated at different frequencies

Namwon Hyung, Clive W.J. Granger

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


This is a report on our studies of the systematical use of mixed-frequency datasets. We suggest that the use of high-frequency data in forecasting economic aggregates can increase the accuracy of forecasts. The best way of using this information is to build a single model that relates the data of all frequencies, for example, an ARMA model with missing observations. As an application of linking series generated at different frequencies, we show that the use of a monthly industrial production index improves the predictability of the quarterly GNP.

Original languageEnglish
Pages (from-to)95-108
Number of pages14
JournalJournal of Forecasting
Issue number2
StatePublished - Mar 2008


  • High-frequency data
  • Kalman filter
  • Linked ARMA
  • Mixed-frequency


Dive into the research topics of 'Linking series generated at different frequencies'. Together they form a unique fingerprint.

Cite this