Hello,
I wish to get some insight how people enter their mix frequency observed data in an excel file.
Assuming that all the observed data is store in one excel file called Observed_Data.xls with quarterly GDP data in a column named “gdp_obs” and annual interest rate data in another column named “int_obs”.
After processing the data as stated in “A Guide to Specifying Observation Equations for the Estimation of DSGE Models”, hence one-sided HP filtering on the GDP data and scaling the interest data, how do I enter the data in the columns?
The reason I am asking is because there will be more entries for the quarterly data than the annual data, and I am wondering how dynare lines up the data.
Examples of the excel entries.( the data is not real and just to illustrate how the data is entered)
Here I line up the data so their dates match and have no entries otherwise for the interest rate when the dates do not match
date gdp_obs int_obs
1/30/14 3.24 2.34
4/30/14 3.21
7/30/14 3.63
10/30/14 3.01
1/30/15 2.70 2.53
3/30/15 2.77
or should I repeat the interest data for the empty fields instead?
date gdp_obs int_obs
1/30/14 3.24 2.34
4/30/14 3.21 2.34
7/30/14 3.63 2.34
10/30/14 3.01 2.34
1/30/15 2.70 2.53
3/30/15 2.77 2.53
Which is the correct way of entering the data?
Thank you in advance.
Regards,
Richard