Narrow search
Showing 1 - 6 of 6
Cover Image
Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
Zadrozny, Peter A.; Chen, Baoline - 2019
Persistent link: https://www.econbiz.de/10012116268
Cover Image
Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Zadrozny, Peter A. - In: Journal of econometrics 193 (2016) 2, pp. 438-446
Persistent link: https://www.econbiz.de/10011704992
Cover Image
Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011459174
Cover Image
Extended Yule-Walker identification of Varma models with single- or mixed frequency data
Zadrozny, Peter A. - 2015
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011411362
Cover Image
Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10012989633
Cover Image
Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data
Zadrozny, Peter A. - 2018
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10012936603