The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
DOI10.1016/J.JECONOM.2016.02.004zbMATH Open1420.62368OpenAlexW2260204203MaRDI QIDQ281040FDOQ281040
Authors: Brian D. O. Anderson, Manfred Deistler, Elisabeth Felsenstein, Lukas Koelbl 
Publication date: 10 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.004
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Cited In (10)
- Nowcasting with large Bayesian vector autoregressions
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- Prediction of singular VARs and an application to generalized dynamic factor models
- Multivariate AR systems and mixed frequency data: G-identifiability and estimation
- Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
- The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case
- Cointegration in singular ARMA models
- Singular arma systems: a structure theory
- Informative sampling for multivariate ARMAX systems
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