The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case

DOI10.1016/j.jeconom.2016.02.004zbMath1420.62368OpenAlexW2260204203MaRDI QIDQ281040

Manfred Deistler, Brian D. O. Anderson, Lukas Koelbl, Elisabeth Felsenstein

Publication date: 10 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.004

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Cointegration in singular ARMA models ⋮ Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models ⋮ Nowcasting with large Bayesian vector autoregressions

Cites Work

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• Dynamic Identification of Dynamic Stochastic General Equilibrium Models
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Solutions of Yule-Walker equations for singular AR processes
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• Elements of multivariate time series analysis

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