A new approach for estimating VAR systems in the mixed-frequency case
type: Item
instance of: scholarly article
title: A new approach for estimating VAR systems in the mixed-frequency case
zbMATH Open document ID: 1443.62155
author: Lukas Koelbl
author: Manfred Deistler
published in: Statistical Papers
publication date: 2020-07-14T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7220140
zbMATH Keywords: high-frequency vector autoregression (VAR)
zbMATH Keywords: mixed-frequency data
zbMATH Keywords: estimation procedure
Wikidata QID: Q97093906
MaRDI profile type: Publication
full work available at URL: s00362-018-0985-1
OpenAlex ID: W2793133172
cites work: Multivariate AR systems and mixed frequency data: G-identifiability and estimation
cites work: MIDAS Regressions: Further Results and New Directions
cites work: Q4730687
cites work: Nearest stable system using successive convex approximations
DOI: 10.1007/S00362-018-0985-1
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description: scientific article; zbMATH DE number 7220140