Estimating dynamic equilibrium models using mixed frequency macro and financial data
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Publication:2630354
DOI10.1016/j.jeconom.2016.04.005zbMath1431.62605OpenAlexW3123248256MaRDI QIDQ2630354
Michel van der Wel, Olaf Posch, Bent Jesper Christensen
Publication date: 27 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.cesifo.org/DocDL/cesifo1_wp5030.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) General equilibrium theory (91B50)
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