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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

Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions data : presented at CESifo conference "Academic Use of ifo Survey Data", december 2003

Mittnik, Stefan; Zadrozny, Peter A. - 2004

The paper illustrates and evaluates a Kalman filtering method for forecasting German real GDP at monthly intervals. German real GDP is produced at quarterly intervals but analysts and decision makers often want monthly GDP forecasts. Quarterly GDP could be regressed on monthly indicators, which...

Persistent link: https://www.econbiz.de/10002104553

Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions data : presented at CESifo conference "Academic Use of ifo Survey Data", December 2003

Mittnik, Stefan; Zadrozny, Peter A. - 2004

Persistent link: https://www.econbiz.de/10011449243

Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data

Mittnik, Stefan; Zadrozny, Peter A. - 2021

Persistent link: https://www.econbiz.de/10013319236

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

An econometric analysis of Polish inflation dynamics with learning about rational expectations

Zadrozny, Peter A. - In: Economics of planning : an international journal … 30 (1997) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10001233686

An eigenvalue method of undetermined coefficients for solving linear rational expectations models

Zadrozny, Peter A. - In: Journal of economic dynamics & control 22 (1998) 8, pp. 1353-1373

Persistent link: https://www.econbiz.de/10001250758

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

Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims

Zadrozny, Peter A. - 2022

Linear rational-expectations models (LREMs) are conventionally "forwardly" estimated as follows. Structural coefficients are restricted by economic restrictions in terms of deep parameters. For given deep parameters, structural equations are solved for "rational-expectations solution" (RES)...

Persistent link: https://www.econbiz.de/10013465436

Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate garch (P,Q) process

Zadrozny, Peter A. - 2006

Persistent link: https://www.econbiz.de/10003331419