Mixed‐frequency models with moving‐average components
Author:
Affiliation:
1. European Central Bank Frankfurt Germany
2. Bocconi University Milan Italy
3. IGIER Milan Italy
4. Baffi‐Carefin Milan Italy
5. CEPR London UK
6. Université du Québec à Montréal Montréal, Québec Canada
7. CIRANO Montréal, Québec Canada
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2701
Reference28 articles.
1. The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case
2. Andreou E. Ghysels E. &Kourtellos A.(2010).Regression models with mixed sampling frequencies. Journal of Econometrics 158(2) 246–261.
3. State Space Models and MIDAS Regressions
4. Macroeconomic Forecasting With Mixed-Frequency Data
5. Forecasting Economic Time Series
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