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Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
DUFOUR, Jean-Marie; JOUINI, Tarek - Centre Interuniversitaire de Recherche en Économie … - 2005
stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions …
Persistent link: https://www.econbiz.de/10008671561
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Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
DUFOUR, Jean-Marie; TAREK, Jouini - Département de Sciences Économiques, Université de … - 2005
stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions …
Persistent link: https://www.econbiz.de/10005133208
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Asymptotic distribution of a simple linear estimator for VARMA models in echelon form
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005
stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions … autorégressif-moyenne-mobile (VARMA) stationnaire et inversible, formulé sous la forme échelon. Nous donnons des conditions …
Persistent link: https://www.econbiz.de/10005100706
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Time varying term premia and risk : the case of the Spanish interbank money market
Robles Fernández, M. Dolores; Flores de Frutos, Rafael - In: Applied financial economics 10 (2000) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10001526279
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Estimation and forecasting using mixed-frequency DSGE models
Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022
In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...
Persistent link: https://www.econbiz.de/10013471326
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Mixed Frequency Structural Models: Estimation, and Policy Analysis
Foroni, Claudia; Marcellino, Massimiliano - 2013
scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …
Persistent link: https://www.econbiz.de/10012143827
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Mixed Frequency Structural VARs
Foroni, Claudia; Marcellino, Massimiliano - 2014
estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions …. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation …
Persistent link: https://www.econbiz.de/10012143839
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Model-free measurement of exchange market pressure
Klaassen, Franc; Jager, Henk - 2006
If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....
Persistent link: https://www.econbiz.de/10011350376
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Conditionally efficient estimation of long-run relationships using mixed-frequency time series
Miller, J. Isaac - In: Econometric reviews 35 (2016) 5/7, pp. 1142-1171
Persistent link: https://www.econbiz.de/10011591156
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953