Cointegration analysis with mixed-frequency data

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of multi...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Seong, Byeongchan (VerfasserIn)
Weitere Verfasser:	Ahn, Sung K. (VerfasserIn), Zadrozny, Peter A. (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	Munich Univ., Center for Economic Studies u.a. 2007
Schriftenreihe:	CESifo working paper series Empirical and theoretical methods 1939
Schlagworte:	Maximum-Likelihood-Schätzung > Kalman-Filter > Datenanalyse
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