[Nick Cox]

OK, but it's still your project. if you want to keep the data as they are, tsset or xtset won't work without fudges that I can't endorse -- unless exceptionally you expand this to a daily dataset.

I doubt that I can give any useful further advice.

[Mario Ferri]

Still my project. I tried to find a paper that faced similar problems, didn't find any. I will have to think a lot about it.
Daily dataset.? That's interest! But how you combine yearly macro frequencies to daily data?