The co-integrated vector autoregression with errors-in-variables
Heino Bohn Nielsen (Department of Economics, University of Copenhagen, Copenhagen, Denmark)
| Year of publication: |
2016
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|---|---|
| Authors: | Bohn Nielsen, Heino |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 1/4, p. 169-200
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| Subject: | Co-Integrated vector autoregression | Expectation-Maximization (EM) algorithm | Kalman filter | Measurement errors | State-space model | Yield curve dynamics | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Statistischer Fehler | Statistical error |