Multivariate AR systems and mixed frequency data : G-identifiability and estimation
Year of publication: |
August 2016
|
---|---|
Authors: | Anderson, Brian D. O. ; Deistler, Manfred ; Felsenstein, Elisabeth ; Funovits, Bernd ; Koelbl, Lukas ; Zamani, Mohsen |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 32.2016, 4, p. 793-826
|
Subject: | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
-
Mahalanobis distances on factor model based estimation
Dai, Deliang, (2020)
-
The joint moment generating function of quadratic forms in multivariate autoregressive series
Abadir, Karim Maher, (1994)
-
Otter, Pieter W., (1990)
- More ...
-
Anderson, Brian D. O., (2016)
-
Estimation of VAR systems from mixed-frequency data : the stock and the flow case
Koelbl, Lukas, (2016)
-
The structure of generalized linear dynamic factor models
Deistler, Manfred, (2015)
- More ...