Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data

DOI10.1016/J.JECONOM.2016.04.017MaRDI QIDQ726604zbMATHOpenAlexFDO

Authors Peter A. Zadrozny

Publication date 12 July 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.04.017

zbMATH Keywords

block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representationmatrix spectral factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• Exact discrete representations of linear continuous time models with mixed frequency data
• Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• Large Bayesian VARMAs
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• DSGE pileups
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes

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