The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case

DOI10.1016/J.JECONOM.2016.02.004MaRDI QIDQ281040zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(10)

• Nowcasting with large Bayesian vector autoregressions
• scientific article; zbMATH DE number 4111699 (Why is no real title available?)
• AR systems and AR processes: the singular case
• 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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