The estimation of continuous time models with mixed frequency data
type: Item
instance of: scholarly article
title: The estimation of continuous time models with mixed frequency data
zbMATH Open document ID: 1431.62359
author: Marcus J. Chambers
published in: Journal of Econometrics
publication date: 2016-07-12T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6603057
zbMATH Keywords: continuous time
zbMATH Keywords: mixed frequency data
zbMATH Keywords: exact discrete time models
zbMATH Keywords: stock and flow variables
MaRDI profile type: Publication
full work available at URL: j.jeconom.2016.04.013
OpenAlex ID: W2346491143
cites work: An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
cites work: Regression models with mixed sampling frequencies
cites work: Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
cites work: Q3719692
cites work: The estimation of systems of joint differential-difference equations
cites work: DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
cites work: Cointegration and sampling frequency
cites work: Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
cites work: DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
cites work: Mixed-Frequency Vector Autoregressive Models
cites work: On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests
cites work: Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
cites work: Predicting volatility: getting the most out of return data sampled at different frequencies
cites work: MIDAS Regressions: Further Results and New Directions
cites work: Computing estimates of continuous time macroeconometric models on the basis of discrete data
cites work: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
cites work: Cointegrating regressions with messy regressors and an application to mixed-frequency series
cites work: Error Correction and Long-Run Equilibrium in Continuous Time
cites work: Estimation of vector error correction models with mixed-frequency data
cites work: Computing integrals involving the matrix exponential
cites work: Note on the Correlation of First Differences of Averages in a Random Chain
DOI: 10.1016/J.JECONOM.2016.04.013
description: scientific article; zbMATH DE number 6603057