Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error
Year of publication: |
2007-11-27
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Authors: | Miller, J. Isaac |
Institutions: | Economics Department, University of Missouri |
Subject: | cointegration | canonical cointegrating regression | near-epoch dependence | messy data | missing data | mixed-frequency data | measurement error | interpolation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published as "Cointegrating Regressions with Messy Regressors and an Application to Mixed-frequency Series" in Journal of Time Series Analysis 2010 Number 0722 30 pages longpgs. |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models |
Source: |
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