Modeling variables of different frequencies

The transformation introduced in Abeysinghe (1998: International Journal of Forecasting 14 505-513) to model dynamic regressions with variables of different frequencies creates an autocorrelation problem when applied to how variables. This exercise shows that the magnitude of the autocorrelation is rather small and offers a solution to the problem. (C) 2000 Elsevier Science B.V. All rights reserved.