Title: Mixed-frequency dynamic factor models Authors:  Leopold Soegner - Institute for Advanced Studies (Austria) [presenting]
Philipp Gersing - University of Vienna (Austria)
Manfred Deistler - Vienna University of Technology (Austria)
Christoph Rust - WU Vienna University of Economics and Business and University of Regensburg (Germany)
Abstract: Representation and estimation theory is provided for generalised dynamic factor models (GDFM) with mixed frequency data. A GDFM is supposed for the underlying high-frequency processes, where the spectrum of the common component is rational. The structure of the blocked process running on the slow frequency sampling rate containing all observable outputs is examined. Results are obtained on how the fast, slow and high-frequency aggregation spaces relate and the relationship of several common factors in the high-frequency and the mixed-frequency GDFM. It is shown that the blocked process is again a GDFM with a rational spectrum in the common component. Finally, the first results of parameter estimation are presented.