Estimation of vector error correction models with mixed-frequency data
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Publication:2852491
DOI10.1111/jtsa.12001zbMath1274.62619MaRDI QIDQ2852491
Byeongchan Seong, Peter A. Zadrozny, Sung K. Ahn
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12001
smoothing; Kalman filter; cointegration; missing data; state-space model; expectation maximization algorithm
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H30: Classification and discrimination; cluster analysis (statistical aspects)
93E11: Filtering in stochastic control theory
91B82: Statistical methods; economic indices and measures
Related Items
Exact Discrete Representations of Linear 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, The estimation of continuous time models with mixed frequency data, Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data, Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
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