Multivariate AR systems and mixed frequency data: G-identifiability and estimation

DOI10.1017/S0266466615000043MaRDI QIDQ2826003zbMATH OpenFDO

Authors Manfred Deistler, Elisabeth Felsenstein, Lukas Koelbl, Mohsen Zamani, Brian D. O. Anderson, B. Funovits

Publication date 14 October 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466615000043

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Estimation and detection in stochastic control theory (93E10)

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Cites work

• A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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• Consistency and relative efficiency of subspace methods
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Forecasting Using Principal Components From a Large Number of Predictors
• Generalized linear dynamic factor models: an approach via singular autoregressions
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• scientific article; zbMATH DE number 3256013 (Why is no real title available?)
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• Irreducible Realizations and the Degree of a Rational Matrix
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Properties of blocked linear systems
• Stochastic theory of minimal realization
• The difference periodic Ricati equation for the periodic prediction problem
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
• The Estimation of Some Continuous Time Models
• The problem of identification in finite parameter continuous time models

Cited in

(9)

• Nowcasting with large Bayesian vector autoregressions
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case
• Filtering-based recursive least squares estimation approaches for multivariate equation-error systems by using the multiinnovation theory
• Retrieval from mixed sampling frequency: generic identifiability in the unit root VAR
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• Identification and estimation of non-Gaussian structural vector autoregressions
• A new approach for estimating VAR systems in the mixed-frequency case

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