Similar Search Results

Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models

Mittnik, Stefan - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 857-870

Persistent link: https://www.econbiz.de/10001147139

Estimating a multivariate ARMA model with mixed-frequency data : an application to forecasting US GNP at monthly intervals

Zadrozny, Peter A. - 1990

Persistent link: https://www.econbiz.de/10000797892

Forecasting US GNP at monthly intervals with an estimated bivariate time series model

Zadrozny, Peter A. - In: Economic review 75 (1990) 6, pp. 2-15

Persistent link: https://www.econbiz.de/10001102626

Real-time state-space method for computing smoothed estimates of future revisions of U.S. monthly chained CPI

Zadrozny, Peter A. - 2016

Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...

Persistent link: https://www.econbiz.de/10011474973

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

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