Non-identifiability of VMA and VARMA systems in the mixed frequency case
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DOI: 10.1016/j.ecosta.2016.11.006
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References listed on IDEAS
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Cited by:
- Philipp Gersing & Leopold Soegner & Manfred Deistler, 2022. "Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR," Papers 2204.05952, arXiv.org, revised Jul 2023.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2018.
"Mixed frequency models with MA components,"
Working Paper Series
2206, European Central Bank.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2018. "Mixed frequency models with MA components," Discussion Papers 02/2018, Deutsche Bundesbank.
- Ankargren, Sebastian & Jonéus, Paulina, 2021.
"Simulation smoothing for nowcasting with large mixed-frequency VARs,"
Econometrics and Statistics, Elsevier, vol. 19(C), pages 97-113.
- Sebastian Ankargren & Paulina Jon'eus, 2019. "Simulation smoothing for nowcasting with large mixed-frequency VARs," Papers 1907.01075, arXiv.org.
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Keywords
VARMA; VMA; Mixed frequency; Non-identifiability;All these keywords.
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