Title: Mixed-frequency dynamic factor models
Authors: Manfred Deistler - Vienna University of Technology (Austria)
Philipp Gersing - Vienna University of Technology (Austria)
Christoph Rust - University of Regensburg (Germany)
Leopold Soegner - Institute for Advanced Studies (Austria) [presenting]
Abstract: Representation and estimation theory is provided for Generalised Dynamic Factor Models (GDFM) with mixed frequency data. We suppose a GDFM for the underlying high-frequency processes where the spectrum of the common component is rational. We look at the structure of the blocked process running on the slow frequency sampling rate containing all observable outputs. With this approach, we aim to build ``information efficient'' methods for denoising, parameter estimation and factor extraction with observations under mixed sampling frequency. We prove that the blocked process is again a GDFM with a rational spectrum in the common component and define a canonical state space representation for the blocked high-frequency common component.