I have a time series data that used quarterly information on a variable, but has now shifted to bi-monthly releases, from September 2008 to July 2021. This is a survey based measure, released at the end of each quarter/ two months.
But slowly they changed the timings of release.
It evolved like this:
|September||December||March||June||Sep 2008 - Jun 2016|
|September||November||December||March||May||June||Sep 2016 - Jun 2018|
|September||November||January||March||May||July||Sept 2018 - July 2021|
There are 2 issues:
This isn't of uniform frequency. It was quarterly from Sep 2008 to 2016, then became bimonthly.
Even after becoming bi-monthly, it's release dates have changed. From Sep 2016 - Jun 2018, the gap between subsequent releases wasn't constant. This was corrected from 2018, with a constant gap of 2 months between releases.
If I want to fit an ARIMA model on this time-series, how should I deal with these issues?