Supplement to "Inference in Group Factor Models with an Application to Mixed Frequency Data"

This zip file contains the codes and data used in our empirical application, and an online appendix with additional material not found within the manuscript.

Supplemental Authors: 
Andreou, Elena - University of Cyprus
Gagliardini, Patrick - Universita D Svizzera Italiana
GHYSELS, ERIC - UNIVERSITY OF NORTH CAROLINA
Rubin, Mirco - EDHEC Business School
Data and Programs

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