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Function "filter" in FAVAR

Topics: FAVAR
Sep 24, 2014 at 6:47 PM

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 low-frequency variable as a high-frequency one with missing observations. The Kalman filter and smoother is then applied to estimate the missing observations. The dynamics of the low and high-frequency series are jointly analyzed.