Apart from MIDAS regression of Ghysels et al, what other additional method(s) someone can implement to allow for the inclusion of different variables (DV and IVs) with different frequencies in the regression model.
Hi,
Mutliple linear or non-linear regression with different variables frequencies:
http://dragon.unideb.hu/~terdik/PostScr/RoyVolJSIP_Gy_SR_JSR_F.pdf
http://www.maths.manchester.ac.uk/~goran/research-reports/psrr25-2005.pdf
http://web.csulb.edu/~msaintg/ppa696/696regmx.htm
http://global.oup.com/us/companion.websites/fdscontent/uscompanion/us/static/companion.websites/randolph/Chapter5/Multiple_Linear_Regression_Instructions_Rev.docx
http://www.utexas.edu/courses/schwab/sw388r7/ClassMaterials/Illustration_of_Regression_Analysis.ppt
You can use weighted least square (WLS) regression while the frequency will be the weighting variable.
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