Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets

DOI10.1007/978-1-4614-8060-0_2zbMath1407.62340OpenAlexW1499711930MaRDI QIDQ4561854

Norman R. Swanson, Ki-Hwan Kim

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_2

zbMATH Keywords

Kalman filterforecastingrecursive estimationmixed frequencydiffusion index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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