How dose UC model and BN model run with monthly data?

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Future
Posts: 6
Joined: Fri Jan 04, 2013 5:27 am

How dose UC model and BN model run with monthly data?

Unread post by Future »

Hi Tom,
I'm new to Winrats, and are learning Unobserved Components model and Beveridge - Nelson model, mnz_restat_2003. RPF and pw_jme_2009. RPF give me a lot of inspiration.But,I find that they used quarterly data time series,if I want to run with the monthly data time series, Where I need to pay attention to ?
thank you
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: How dose UC model and BN model run with monthly data?

Unread post by TomDoan »

There's nothing about either of those models that needs adjustment for monthly rather than quarterly data.
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