Peter A. Zadrozny

U.S. Bureau of Labor Statistics - Department of Labor

2 Massachusetts Avenue, NE

Washington, DC 20212

United States

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

7

DOWNLOADS

735

SSRN CITATIONS
Rank 38,109

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Top 38,109

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CROSSREF CITATIONS

15

Scholarly Papers (7)

1.

Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data

CESifo Working Paper Series No. 1203
Number of pages: 32 Posted: 12 Jul 2004
Stefan Mittnik and Peter A. Zadrozny
University of Kiel - Institute of Statistics & Econometrics and U.S. Bureau of Labor Statistics - Department of Labor
Downloads 340 (89,902)

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mixed-frequency data, VAR models, maximum-likelihood estimation, Kalman filter

2.

Cointegration Analysis with Mixed-Frequency Data

CESifo Working Paper Series No. 1939
Number of pages: 38 Posted: 28 Mar 2007
Byeongchan Seong, Sung K. Ahn and Peter A. Zadrozny
Chung-Ang University, Washington State University and U.S. Bureau of Labor Statistics - Department of Labor
Downloads 194 (159,822)

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missing data, Kalman filter, expectation maximization algorithm, forecasting, error correction model, smoothing, maximum likelihood estimation

3.

Estimated U.S. Manufacturing Production Capital and Technology Based on an Estimated Dynamic Economic Model

CESifo Working Paper Series No. 1526
Number of pages: 48 Posted: 28 Sep 2005
Baoline Chen and Peter A. Zadrozny
Bureau of Economic Analysis and U.S. Bureau of Labor Statistics - Department of Labor
Downloads 87 (296,432)

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Kalman filter estimation of unobserved state variables

4.

Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(P,Q) Process

CESifo Working Paper Series No. 1505
Number of pages: 25 Posted: 08 Aug 2005
Peter A. Zadrozny
U.S. Bureau of Labor Statistics - Department of Labor
Downloads 70 (336,747)

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state-space form, Lyapunov equations, nonnegative and irreducible matrices

Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data

CFS Working Paper, No. 526
Number of pages: 30 Posted: 13 Jan 2016 Last Revised: 05 Jan 2018
Peter A. Zadrozny
U.S. Bureau of Labor Statistics - Department of Labor
Downloads 20 (551,948)
Citation 1

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block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation, matrix spectral factorization

Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data

CESifo Working Paper Series No. 5884
Number of pages: 28 Posted: 09 Jun 2016
Peter A. Zadrozny
U.S. Bureau of Labor Statistics - Department of Labor
Downloads 10 (620,708)

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block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation, matrix spectral factorization

6.

Real-Time State-Space Method for Computing Smoothed Estimates for Future Revisions of U.S. Monthly Chained CPI

CESifo Working Paper Series No. 5897
Number of pages: 24 Posted: 15 Jun 2016
Peter A. Zadrozny
U.S. Bureau of Labor Statistics - Department of Labor
Downloads 13 (576,250)

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Kalman smoother estimation of delayed and revised data

7.

Estimation of Vector Error Correction Models with Mixed‐Frequency Data

Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 194-205, 2013
Number of pages: 12 Posted: 22 Feb 2013
Byeongchan Seong, Sung Ahn and Peter A. Zadrozny
Chung-Ang University, affiliation not provided to SSRN and U.S. Bureau of Labor Statistics - Department of Labor
Downloads 1 (664,566)
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Abstract:

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Missing data, cointegration, state‐space model, Kalman filter, expectation maximization algorithm, smoothing