Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data

Estimation of Vector Error Correction Models with Mixed-Frequency Data

Mixed-Frequency Data Byeongchan Seong, Sung K. Ahn, and Peter A. Zadrozny a Department of Statistics, Chung-Ang University, Seoul 156-756, Korea (e-mail: [email protected]) b Department of Management and Operations, Washington State University, Pullman, WA 99164-4736, USA (e-mail: [email protected]) c Bureau of Labor Statistics,2 Massachusetts Ave., NE, Washington, DC 20212, USA (e-mail: Zadrozny.Pet...

Bayesian Mixed Frequency Estimation of DSGE models

In this paper, we present an alternative strategy for estimation of DSGE models when data is available at di¤erent time intervals. Our method is based on a data augmentation technique within Bayesian estimation of structural models and allows us to jointly use data at di¤erent frequencies. The bene…ts achieved via this methodology will be twofold, resolution of time aggregation bias and identi…...

Mixed Time/Frequency-Domain Based Robust Identification

A new robust identification framework that incorporates both time and frequency domain data is proposed. ¹his framework avoids situations where a good data fit in one domain leads to poor fitting in the other. Abstract—In this paper we propose a new robust identification framework that combines both frequency and time-domain experimental data. The main result of the paper shows that the problem...

Generalized Dynamic Factor Models Structure Theory and Estimation for Single Frequency and Mixed Frequency Data

The thesis deals with the theory of Generalized Dynamic Factor Models. These models have been introduced about 10 years ago by two groups simultaneously and have been discussed intensively since then. The reason why this model class attracts so many different research groups is, that it is, up to now, the most general class of factor models. The new aspect of these models is, that the spectrum ...

Estimation of Continuous–Time Financial Models Using High–Frequency Data