MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION
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Publication:2826003
DOI10.1017/S0266466615000043zbMath1441.62586MaRDI QIDQ2826003
Manfred Deistler, Mohsen Zamani, Elisabeth Felsenstein, Lukas Koelbl, Bernd Funovits, Brian D. O. Anderson
Publication date: 14 October 2016
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)
Related Items (4)
Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ Identification and estimation of non-Gaussian structural vector autoregressions ⋮ A new approach for estimating VAR systems in the mixed-frequency case ⋮ Nowcasting with large Bayesian vector autoregressions
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