The Co-Integrated Vector Autoregression with Errors–in–Variables

DOI10.1080/07474938.2013.806853zbMath1491.62120OpenAlexW1991839972MaRDI QIDQ5864352

Heino Bohn Nielsen

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2013.806853

zbMATH Keywords

Kalman filterstate-space modelmeasurement errorsexpectation-maximization (EM) algorithmyield curve dynamicsco-integrated vector autoregression

Mathematics Subject Classification ID

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

Related Items (1)

Estimation of error correction model with measurement errors

Uses Software

• Ox
• SsfPack
• astsa

Cites Work

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• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Identification in Parametric Models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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