Econometric Modelling with Mixed Frequency and Temporally Aggregated Data
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Publication:4973946
DOI10.1111/jtsa.12510zbMath1440.00025OpenAlexW2982005910MaRDI QIDQ4973946
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Publication date: 6 December 2019
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12510
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Collections of articles of miscellaneous specific interest (00B15)
Cites Work
- The estimation of continuous time models with mixed frequency data
- Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
- Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
- The Interpolation of Time Series by Related Series
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