Search for dissertations about: "mixed-frequency data"

Found 1 swedish dissertation containing the words mixed-frequency data.

2. 1. VAR Models, Cointegration and Mixed-Frequency Data

   Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

   Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE