The co-integrated vector autoregression with errors-in-variables
DOI10.1080/07474938.2013.806853zbMATH Open1491.62120OpenAlexW1991839972MaRDI QIDQ5864352FDOQ5864352
Authors: Heino Bohn Nielsen 
Publication date: 7 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2013.806853
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Kalman filterstate-space modelyield curve dynamicsmeasurement errorsexpectation-maximization (EM) algorithmco-integrated vector autoregression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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Cited In (5)
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