VARMA Models with Single- or Mixed-Frequency Data: New Conditions for Extended Yule–Walker Identification
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Peter A. Zadrozny, 2016. "Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data," CESifo Working Paper Series 5884, CESifo.
- 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).
- Boularouk, Y. & Djeddour, K., 2015. "New approximation for ARMA parameters estimate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 118(C), pages 116-122.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Thornton, Michael A. & Chambers, Marcus J., 2017.
"Continuous time ARMA processes: Discrete time representation and likelihood evaluation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
- Michael Thornton & Marcus Chambers, 2016. "Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Discussion Papers 16/10, Department of Economics, University of York.
- Zadrozny, Peter A., 2022.
"Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims,"
CFS Working Paper Series
682, Center for Financial Studies (CFS).
- Peter A. Zadrozny, 2022. "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series 10078, CESifo.
- Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
- 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.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
- Hecq, Alain & Goetz, Thomas, 2018. "Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes," MPRA Paper 87746, University Library of Munich, Germany.
- Deistler, Manfred & Wagner, Martin, 2017. "Cointegration in singular ARMA models," Economics Letters, Elsevier, vol. 155(C), pages 39-42.
- Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
- 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.
- 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.
- Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
- Majid Al-Sadoon & Piotr Zwiernik, 2019.
"The identification problem for linear rational expectations models,"
Economics Working Papers
1669, Department of Economics and Business, Universitat Pompeu Fabra.
- Majid M. Al-Sadoon & Piotr Zwiernik, 2019. "The Identification Problem for Linear Rational Expectations Models," Working Papers 1114, Barcelona School of Economics.
- Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
- 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.
- Manuel D. Ortigueira, 2022. "A New Look at the Initial Condition Problem," Mathematics, MDPI, vol. 10(10), pages 1-17, May.
More about this item
Keywords
VARMA model; mixed-frequency data; identification; extended Yule–Walker method; Hankel matrix; autocovariance;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:12:y:2024:i:2:p:244-:d:1317544. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.