Macroeconomics and the reality of mixed frequency data
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Cites work
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- A MIDAS approach to modeling first and second moment dynamics
- Convergence analysis of parametric identification methods
- Convergence results for maximum likelihood type estimators in multivariable ARMA models
- Forecasting aggregated vector ARMA processes
- Forecasting and conditional projection using realistic prior distributions
- Granger causality and the sampling of economic processes
- MIDAS Regressions: Further Results and New Directions
- Maximum Likelihood Estimation of Misspecified Models
- On Information and Sufficiency
- On periodic and multiple autoregressions
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
- Regression models with mixed sampling frequencies
- Seasonally and approximation errors in rational expectations models
- State Space Models and MIDAS Regressions
- Temporal aggregation and spurious instantaneous causality in multiple time series models
Cited in
(39)- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models
- Econometric modeling at mixed frequencies
- Model estimation, prediction, and signal extraction for nonstationary stock and flow time series observed at mixed frequencies
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
- Nowcasting with large Bayesian vector autoregressions
- Nowcasting the output gap
- Nowcasting in a pandemic using non-parametric mixed frequency VARs
- The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
- scientific article; zbMATH DE number 7387618 (Why is no real title available?)
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Forecasting data revisions of GDP: a mixed frequency approach
- Testing for Granger causality in large mixed-frequency VARs
- A MIDAS approach to modeling first and second moment dynamics
- A computationally efficient method for vector autoregression with mixed frequency data
- Monetary, fiscal and oil shocks: evidence based on mixed frequency structural FAVARs
- The econometric analysis of mixed frequency data sampling
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Panel data nowcasting
- A mixed frequency approach for stock returns and valuation ratios
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Testing for deterministic seasonality in mixed-frequency VARs
- Mixed-frequency vector autoregressive models
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Exact discrete representations of linear continuous time models with mixed frequency data
- Measuring the effects of expectations shocks
- Computationally efficient inference in large Bayesian mixed frequency VARs
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Estimation of vector error correction models with mixed-frequency data
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Measuring, mapping, and uncertainty quantification in the space-time cube
- Diffusion index model specification and estimation using mixed frequency datasets
- Reverse restricted MIDAS model with application to US interest rate forecasts
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