Which vintage of data to use when there are multiple vintages of data? Cointegration, weak exogeneity and common factors

Multiple vintages of data on the same variable are a pervasive feature of p ublished data. This creates problems for empirical research, which requires a single observation series for each variable. This paper adopts an explic itly multivariate approach to solve this and related problems. Based on com mon factors and weak exogeneity, I show which vintage, or linear combinatio n, of vintages should be used and how to test for cointegration with multip le vintages of data. (C) 2000 Elsevier Science S.A. All rights reserved.