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

DOI10.1016/J.JECONOM.2016.04.017zbMATH Open1431.62426OpenAlexW3123849256MaRDI QIDQ726604FDOQ726604

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

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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 (6)

• Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
• Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals
• Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data
• Large Bayesian VARMAs
• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• DSGE pileups

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