Estimation of vector error correction models with mixed-frequency data

DOI10.1111/jtsa.12001zbMath1274.62619OpenAlexW1840278770MaRDI QIDQ2852491

Byeongchan Seong, Peter A. Zadrozny, Sung K. Ahn

Publication date: 9 October 2013

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

Full work available at URL: https://doi.org/10.1111/jtsa.12001

zbMATH Keywords

smoothingKalman filtercointegrationmissing datastate-space modelexpectation maximization algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Filtering in stochastic control theory (93E11) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data ⋮ The estimation of continuous time models with mixed frequency data ⋮ Testing for Granger causality with mixed frequency data ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

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