Interpolation and Backdating with A Large Information Set

JEL codes: 
C32, C43, C82
Version Date: 
Sep 2004

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly estimated.

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