Combinations of High and Low Frequency Data in Macroeconometric Models

Abstract

Econometricians who try to follow and project the overall economy as closely as possible (“Economy Watchers”) frequently base their main forecasts on macroeconometric models, supplemented by the frequent flow — almost daily — of indicative information. As soon as reports are prepared about some specific area of economic activity, they are released to the public. At the extreme, we have instantaneous market reports, originating with the start of the day at the international date line and moving with the sun to Tokyo, Hong Kong, Sidney/Melbourne, Singapore, Frankfurt/Paris, London, New York, Chicago, Los Angeles/San Francisco. These data cover both commodity and financial market reports.