Estimation of vector error correction models with mixed-frequency data

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

zbMATH Keywords

smoothing; Kalman filter; cointegration; missing data; state-space model; expectation maximization algorithm

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• 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
• Statistical analysis of cointegration vectors
• Time series: theory and methods.
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints
• Likelihood functions for state space models with diffuse initial conditions
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution and interpolation using transformed data
• Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
• Recent Advances in Cointegration Analysis
• Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints