
Hello,
I have a question about the function "filter" available in the FAVAR section: What is the algorithm used to generate the missing observations? Do you have a reference I can read to understand it?
So far, I understand that (tell me if it is wrong!) that you handle data with different frequencies by considering the lowfrequency variable as a highfrequency one with missing observations. The Kalman filter and smoother is then applied to estimate the missing
observations. The dynamics of the low and highfrequency series are jointly analyzed.
Thanks,
Gabriel

