Estimation of vector error correction models with mixed-frequency data
DOI10.1111/JTSA.12001zbMATH Open1274.62619OpenAlexW1840278770MaRDI QIDQ2852491FDOQ2852491
Authors: Byeongchan Seong, Sung K. Ahn, Peter A. Zadrozny 
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
Recommendations
- Mixed-frequency vector autoregressive models
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Macroeconomics and the reality of mixed frequency data
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- A computationally efficient method for vector autoregression with mixed frequency data
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)
Cites Work
- Time series: theory and methods.
- Title not available (Why is that?)
- Time series analysis by state space methods
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Recent Advances in Cointegration Analysis
- Likelihood functions for state space models with diffuse initial conditions
- Estimation of common factors under cross-sectional and temporal aggregation constraints
- ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
- Distribution and interpolation using transformed data
- Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
Cited In (12)
- A computationally efficient method for vector autoregression 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
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Mixed-frequency vector autoregressive 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
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
This page was built for publication: Estimation of vector error correction models with mixed-frequency data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2852491)
