A flexible mixed-frequency vector autoregression with a steady-state prior

DOI10.1515/jtse-2018-0034OpenAlexW3063963153MaRDI QIDQ2019871

Måns Unosson, Sebastian Ankargren, Yukai Yang

Publication date: 22 April 2021

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.09151

zbMATH Keywords

VARstate space modelsnowcastingmacroeconometricsstochastic volatilty

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors

Uses Software

• bvarsv
• stochvol

Cites Work

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