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misc/dynamic_factor_models/dynamic_factor_models.tex

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@@ -182,7 +182,7 @@ \section{Mixed Frequency}
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\begin{equation}
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\log(X^q_t) - \log(X^q_{t-3}) = \frac{1}{3}[\log(\tilde{X}^m_t) - \log(\tilde{X}^m_{t-3})] + \frac{1}{3}[\log(\tilde{X}^m_{t-1})-\log(\tilde{X}^m_{t-4})] + \frac{1}{3}[\log(\tilde{X}^m_{t-2})-\log(\tilde{X}^m_{t-5})].
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\end{equation}
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Adding and subtracting further lags and leads on the right-hand side, and denoting the growth rate by lowercase letters, i.e. $x^q_t = \log(X^q_t) - \log(X^q_{t-3})$ and $\tilde{x}^m_t = \log(\tilde{X}^m_t) - \log(\tilde{X}^m_{t-1})$, yields
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Adding and subtracting further lags on the right-hand side, and denoting the growth rate by lowercase letters, i.e. $x^q_t = \log(X^q_t) - \log(X^q_{t-3})$ and $\tilde{x}^m_t = \log(\tilde{X}^m_t) - \log(\tilde{X}^m_{t-1})$, yields
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\begin{align}
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x^q_t &= \frac{1}{3}[\tilde{x}^m_t + \tilde{x}^m_{t-1} + \tilde{x}^m_{t-2}] + \frac{1}{3}[\tilde{x}^m_{t-1} + \tilde{x}^m_{t-2} + \tilde{x}^m_{t-3}] + \frac{1}{3}[\tilde{x}^m_{t-2} + \tilde{x}^m_{t-3} + \tilde{x}^m_{t-4}] \\
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&= \frac{1}{3}\tilde{x}^m_t + \frac{2}{3}\tilde{x}^m_{t-1} + \tilde{x}^m_{t-2} + \frac{2}{3}\tilde{x}^m_{t-3} + \frac{1}{3}\tilde{x}^m_{t-4}.

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