Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data

DOI10.1016/j.jeconom.2016.04.017zbMath1431.62426OpenAlexW3123849256MaRDI QIDQ726604

Peter A. Zadrozny

Publication date: 12 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.017

zbMATH Keywords

block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representationmatrix spectral factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Large Bayesian VARMAs ⋮ Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ DSGE pileups ⋮ Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data ⋮ Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals

Cites Work

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• The Identification and Parameterization of Armax and State Space Forms
• The Algebraic Theory of Matrix Polynomials
• Global identification of linearized DSGE models
• The Interpolation of Time Series by Related Series
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