Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series

A Tank
A Tank

BIOMETRIKA, pp. 433-452, 2019.

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Causal inference in multivariate time series is challenging because the sampling rate may not be as fast as the time scale of the causal interactions, so the observed series is a subsampled version of the desired series. Furthermore, series may be observed at different sampling rates, yielding mixed-frequency series. To determine instanta...More



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