Mixed-Frequency Vector Autoregressive Models
From MaRDI portal
Publication:3295729
DOI10.1108/S0731-9053(2013)0000031007zbMath1443.62150OpenAlexW2505356859MaRDI QIDQ3295729
Eric Ghysels, Massimiliano Marcellino, Claudia Foroni
Publication date: 10 July 2020
Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/s0731-9053(2013)0000031007
Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12)
Related Items (7)
Using Survey Information for Improving the Density Nowcasting of U.S. GDP ⋮ Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit ⋮ Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality ⋮ The estimation of continuous time models with mixed frequency data ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Including news data in forecasting macro economic performance of China ⋮ Testing for Granger causality with mixed frequency data
This page was built for publication: Mixed-Frequency Vector Autoregressive Models
