A new approach for estimating VAR systems in the mixed-frequency case

DOI10.1007/s00362-018-0985-1zbMath1443.62155OpenAlexW2793133172WikidataQ97093906 ScholiaQ97093906MaRDI QIDQ779695

Lukas Koelbl, Manfred Deistler

Publication date: 14 July 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-0985-1

zbMATH Keywords

mixed-frequency dataestimation procedurehigh-frequency vector autoregression (VAR)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes

Cites Work

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• MIDAS Regressions: Further Results and New Directions
• Nearest stable system using successive convex approximations
• MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION

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