Estimation of vector error correction models with mixed-frequency data

DOI10.1111/jtsa.12001zbMath1274.62619OpenAlexW1840278770MaRDI QIDQ2852491

Byeongchan Seong, Peter A. Zadrozny, Sung K. Ahn

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12001

zbMATH Keywords

smoothingKalman filtercointegrationmissing datastate-space modelexpectation maximization algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Filtering in stochastic control theory (93E11) Statistical methods; economic indices and measures (91B82)

Related Items

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series, Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data, The estimation of continuous time models with mixed frequency data, Testing for Granger causality with mixed frequency data, Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data, Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

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