Estimation Of Cointegrating Vectors With Time Series Measured At Different Periodicity
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- Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain, 2014.
"Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 198-213, April.
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Forecasting Mixed Frequency Time Series with ECM-MIDAS Models," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Byeongchan Seong & Sung K. Ahn & Peter Zadrozny, 2007. "Cointegration Analysis with Mixed-Frequency Data," CESifo Working Paper Series 1939, CESifo.
- Eric Ghysels & J. Isaac Miller, 2015.
"Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 797-816, November.
- Eric Ghysels & J. Isaac Miller, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," Working Papers 1307, Department of Economics, University of Missouri, revised 07 May 2014.
- Ghysels, Eric & Miller, J. Isaac, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers 9654, C.E.P.R. Discussion Papers.
- J. Isaac Miller, 2014.
"Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 584-614.
- J. Isaac Miller, 2012. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers 1211, Department of Economics, University of Missouri.
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