VARMA Models with Single- or Mixed-Frequency Data: New Conditions for Extended Yule–Walker Identification
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- Zadrozny, Peter A., 2016.
"Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 438-446.
- Peter A. Zadrozny, 2015. "Extended Yule-Walker Identification of Varma Models with Single- or Mixed- Frequency Data," Economic Working Papers 485, Bureau of Labor Statistics.
- Zadrozny, Peter A., 2015. "Extended Yule-Walker identification of Varma models with single- or mixed frequency data," CFS Working Paper Series 526, Center for Financial Studies (CFS).
- Peter A. Zadrozny, 2016. "Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data," CESifo Working Paper Series 5884, CESifo.
- Anderson, Brian D.O. & Deistler, Manfred & Felsenstein, Elisabeth & Koelbl, Lukas, 2016. "The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case," Journal of Econometrics, Elsevier, vol. 192(2), pages 366-373.
- Boularouk, Y. & Djeddour, K., 2015. "New approximation for ARMA parameters estimate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 118(C), pages 116-122.
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Keywords
VARMA model; mixed-frequency data; identification; extended Yule–Walker method; Hankel matrix; autocovariance;All these keywords.
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