To Dr Pfeifer,

I am currently running a Bayesian estimation, where the model is in quarterly frequency, but some observed variables are only able in an annual frequency.

Following Pfeifer (2013), observation equations, section 7.3,

if my variable of annual frequency is obs_A,

I created a variable obs_A_annual ( which looks something like A + A(-1) + A(-2) + A(-3) ).

I question that I had from your example, in Listing 15, was that when declaring ‘varobs’, you use ‘y_tilde’ instead of ‘y_tilde_quarterly’.

It feels like the data, with NaNs for months without observations, should correspond to ‘y_tilde_quarterly’ instead of ‘y_tilde’.

Is my interpretation correct?

Further, if ‘y_tilde_quarterly’ is reported in January, April, July, and October,

would it be correct to construct the data so that the reported values are positioned in January, April, July, and October, and the remaining is left as NaN?

Thank you for your time in advance.