Estimation of vector error correction models with mixed-frequency data
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Publication:2852491
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82) Filtering in stochastic control theory (93E11)
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Cites work
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
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- Distribution and interpolation using transformed data
- Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
- ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- Likelihood functions for state space models with diffuse initial conditions
- Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
- Recent Advances in Cointegration Analysis
- Statistical analysis of cointegration vectors
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Time series analysis by state space methods
- Time series: theory and methods.
Cited in
(13)- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- A computationally efficient method for vector autoregression with mixed frequency data
- A flexible mixed-frequency vector autoregression with a steady-state prior
- The estimation of continuous time models with mixed frequency data
- Testing for Granger causality with mixed frequency data
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Mixed-frequency vector autoregressive models
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Nowcasting causality in mixed frequency vector autoregressive models
- Exact discrete representations of linear continuous time models with mixed frequency data
- Specification via model selection in vector error correction models
- Diffusion index model specification and estimation using mixed frequency datasets
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