Multivariate Ar Systems And Mixed Frequency Data: G-Identifiability And Estimation
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Cited by:
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022.
"Nowcasting with large Bayesian vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2016.
"Exploiting the monthly data flow in structural forecasting,"
Journal of Monetary Economics, Elsevier, vol. 84(C), pages 201-215.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2015. "Exploiting the monthly data flow in structural forecasting," Staff Reports 751, Federal Reserve Bank of New York.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2014. "Exploiting the monthly data-flow in structural forecasting," LSE Research Online Documents on Economics 57998, London School of Economics and Political Science, LSE Library.
- Giannone, Domenico & Monti , Francesca & Reichlin , Lucrezia, 2014. "Exploiting the monthly data flow in structural forecasting," Bank of England working papers 509, Bank of England.
- Deistler, Manfred & Koelbl, Lukas & Anderson, Brian D.O., 2017. "Non-identifiability of VMA and VARMA systems in the mixed frequency case," Econometrics and Statistics, Elsevier, vol. 4(C), pages 31-38.
- Feng-Li Lin & Mei-Chih Wang, 2019. "Does economic growth cause military expenditure to go up? Using MF-VAR model," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 3097-3117, November.
- Motegi, Kaiji & Sadahiro, Akira, 2018. "Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 118-128.
- Lukas Koelbl & Manfred Deistler, 2020. "A new approach for estimating VAR systems in the mixed-frequency case," Statistical Papers, Springer, vol. 61(3), pages 1203-1212, June.
- Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2017.
"Identification and estimation of non-Gaussian structural vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 196(2), pages 288-304.
- Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
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