Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies
混频非平稳存量与流量时间序列的估计、预测及信号提取
An important practical problem for statistical agencies and central banks that publish economic data is the seasonal adjustment of mixed frequency stock and flow time series. This may arise in practice due to changes in funding of a particular survey. Mathematically, the problem can be reduced to the need to compute imputations, forecasts, and backcasts from a given model of the highest available frequency data. The nonstationarity of the economic time series coupled with…