Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
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- Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
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Monitoring of Russia's Ec
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Cited by:- Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022.
"Peso problems in the estimation of the C‐CAPM,"
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JRC Working Papers in Economics and Finance
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More about this item
Keywords
structural estimation; AK-Vasicek model; Martingale estimating function;
All these keywords.JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
Statistics
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