AN EXTENDED YULE-WALKER METHOD FOR ESTIMATING A VECTOR AUTOREGRESSIVE MODEL WITH MIXED-FREQUENCEY DATA

ISBN: 978-0-76230-303-8, eISBN: 978-1-84950-823-0

ISSN: 0731-9053

Publication date: 1 January 1999

Abstract

Chen, B. and Zadrozny, P. (1999), "AN EXTENDED YULE-WALKER METHOD FOR ESTIMATING A VECTOR AUTOREGRESSIVE MODEL WITH MIXED-FREQUENCEY DATA", Fomby, T. and Carter Hill, R. (Ed.) Messy Data (Advances in Econometrics, Vol. 13), Emerald Group Publishing Limited, Bingley, pp. 47-73. https://doi.org/10.1108/S0731-9053(1999)0000013005

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