Non-identifiability of VMA and VARMA systems in the mixed frequency case

Deistler, Manfred; Koelbl, Lukas and Anderson, Brian D.O. (2017) Non-identifiability of VMA and VARMA systems in the mixed frequency case. Econometrics and Statistics, 4, pp. 31-38.

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Item Type: Article in Academic Journal
Keywords: VARMA, VMA, Mixed frequency, Non-identifiability
Research Units: IHS general publications
Status: Published
Date Deposited: 09 Oct 2018 08:22
Last Modified: 09 Oct 2018 08:22
Identification Number or DOI: 10.1016/j.ecosta.2016.11.006
ISSN: 2452-3062
URI: https://irihs.ihs.ac.at/id/eprint/4787

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