Estimation of vector error correction models with mixed-frequency data (Q2852491)

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Estimation of vector error correction models with mixed-frequency data
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    Estimation of vector error correction models with mixed-frequency data (English)
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    9 October 2013
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    missing data
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    cointegration
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    state-space model
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    Kalman filter
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    expectation maximization algorithm
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    smoothing
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