Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data (Q4973948): Difference between revisions

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scientific article; zbMATH DE number 7140931

Language	Label	Description	Also known as
English	Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data	scientific article; zbMATH DE number 7140931

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instance of

scholarly article

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title

Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data (English)

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author

Marcus J. Chambers

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published in

Journal of Time Series Analysis

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publication date

6 December 2019

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full work available at URL

http://repository.essex.ac.uk/24395/1/MFCCT_Final.pdf

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zbMATH Keywords

mixed frequency data

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continuous time

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frequency domain

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Q3719692

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Time series: theory and methods.

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THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION

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The estimation of continuous time models with mixed frequency data

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Frequency domain estimation of temporally aggregated Gaussian cointegrated systems

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A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise

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Macroeconomics and the reality of mixed frequency data

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Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM

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Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

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The problem of identification in finite parameter continuous time models

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Q4015741

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Error Correction and Long-Run Equilibrium in Continuous Time

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Optimal Inference in Cointegrated Systems

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Multiple Time Series Regression with Integrated Processes

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Statistical Inference in Instrumental Variables Regression with I(1) Processes

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Asymptotic normality, strong mixing and spectral density estimates

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Identifiers

zbMATH Open document ID

1437.62330

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DOI

10.1111/jtsa.12461

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4973948

@@ Property / cites work @@
+Q5631966
@@ Property / cites work: Q5631966 / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Q3719692
@@ Property / cites work: Q3719692 / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
+Normal rank
@@ Property / cites work @@
+The estimation of continuous time models with mixed frequency data
+Normal rank
@@ Property / cites work @@
+Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
+Normal rank
@@ Property / cites work @@
+A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
+Normal rank
@@ Property / cites work @@
+Macroeconomics and the reality of mixed frequency data
+Normal rank
@@ Property / cites work @@
+Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
+Normal rank
@@ Property / cites work @@
+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM
+Normal rank
@@ Property / cites work @@
+Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
+Normal rank
@@ Property / cites work @@
+The problem of identification in finite parameter continuous time models
+Normal rank
@@ Property / cites work @@
+Q4015741
@@ Property / cites work: Q4015741 / rank @@
+Normal rank
@@ Property / cites work @@
+Error Correction and Long-Run Equilibrium in Continuous Time
+Normal rank
@@ Property / cites work @@
+Optimal Inference in Cointegrated Systems
@@ Property / cites work: Optimal Inference in Cointegrated Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Multiple Time Series Regression with Integrated Processes
+Normal rank
@@ Property / cites work @@
+Statistical Inference in Instrumental Variables Regression with I(1) Processes
+Normal rank
@@ Property / cites work @@
+Asymptotic normality, strong mixing and spectral density estimates
+Normal rank