Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data
نویسندگان
چکیده
منابع مشابه
Extended Yule-Walker Identification Of Varma Models With Single- Or Mixed Frequency Data
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available population covariances, then, the VAR model is identified. The present paper extends the original XYW...
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Mixed-Frequency Data Byeongchan Seong, Sung K. Ahn, and Peter A. Zadrozny a Department of Statistics, Chung-Ang University, Seoul 156-756, Korea (e-mail: [email protected]) b Department of Management and Operations, Washington State University, Pullman, WA 99164-4736, USA (e-mail: [email protected]) c Bureau of Labor Statistics,2 Massachusetts Ave., NE, Washington, DC 20212, USA (e-mail: Zadrozny.Pet...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2016
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2016.04.017