Details about Peter A. Zadrozny

Access statistics for papers by Peter A. Zadrozny.

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Short-id: pza34

Working Papers

2022

1. Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims
   CESifo Working Paper Series, CESifo View citations (1)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2022) View citations (1)

2019

2. WEIGHTED-COVARIANCE FACTOR DECOMPOSITION OF VARMA MODELS APPLIED TO FORECASTING QUARTERLY U.S. REAL GDP AT MONTHLY INTERVALS
   Economic Working Papers, Bureau of Labor Statistics
   See also Journal Article Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (1) (2019)

2016

3. Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data
   CESifo Working Paper Series, CESifo View citations (6)
   Also in Economic Working Papers, Bureau of Labor Statistics (2015)
   CFS Working Paper Series, Center for Financial Studies (CFS) (2015)
   See also Journal Article Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data, Journal of Econometrics, Elsevier (2016) View citations (5) (2016)
4. Real-Time State Space Method for Computing Smoothed Estimates of Future Revisions of U.S. Monthly Chained CPI
   CESifo Working Paper Series, CESifo View citations (2)

2015

5. Real-Time State-Space Method For Computing Filtered Estimates of Future Revisions of U.S. Monthly Chained CPI
   Economic Working Papers, Bureau of Labor Statistics

2007

6. Cointegration Analysis with Mixed-Frequency Data
   CESifo Working Paper Series, CESifo View citations (6)

2005

7. Estimated U.S. Manufacturing Production Capital and Technology Based on an Estimated Dynamic Economic Model
   CESifo Working Paper Series, CESifo View citations (3)
8. Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process
   CESifo Working Paper Series, CESifo View citations (3)
9. Testing Substitution Bias of the Solow-Residual Measure of Total Factor Productivity Using CES-Class Production Functions
   Computing in Economics and Finance 2005, Society for Computational Economics

2004

10. Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data
    CESifo Working Paper Series, CESifo View citations (52)
    See also Chapter Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data, Contributions to Economics, Springer (2005) View citations (32) (2005)

2001

11. An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games
    Computing in Economics and Finance 2001, Society for Computational Economics
    See also Journal Article An anticipative feedback solution for the infinite-horizon, linear-quadratic, dynamic, Stackelberg game, Journal of Economic Dynamics and Control, Elsevier (2002) View citations (3) (2002)

1990

12. Estimating A Multivariate Arma Model with Mixed-Frequency Data: An Application to Forecasting U.S. GNP at Monthly Intervals
    Working Papers, U.S. Census Bureau, Center for Economic Studies View citations (14)

1988

13. Analytic Derivatives for Estimation of Linear Dynamic Models
    Working Papers, U.S. Census Bureau, Center for Economic Studies View citations (10)
14. Long-Run Expectations And Capacity
    Working Papers, U.S. Census Bureau, Center for Economic Studies View citations (4)

Journal Articles

2019

1. Econometric Modelling with Mixed Frequency and Temporally Aggregated Data
   Journal of Time Series Analysis, 2019, 40, (6), 869-871
2. Weighted‐Covariance Factor Decomposition of Varma Models Applied to Forecasting Quarterly U.S. Real GDP at Monthly Intervals
   Journal of Time Series Analysis, 2019, 40, (6), 968-986 View citations (1)
   See also Working Paper WEIGHTED-COVARIANCE FACTOR DECOMPOSITION OF VARMA MODELS APPLIED TO FORECASTING QUARTERLY U.S. REAL GDP AT MONTHLY INTERVALS, Economic Working Papers (2019) (2019)

2016

3. Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data
   Journal of Econometrics, 2016, 193, (2), 438-446 View citations (5)
   See also Working Paper Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data, CESifo Working Paper Series (2016) View citations (6) (2016)

2013

4. Estimation of vector error correction models with mixed-frequency data
   Journal of Time Series Analysis, 2013, 34, (2), 194-205 View citations (19)
5. Further model-based estimates of US total manufacturing production capital and technology, 1949–2005
   Journal of Productivity Analysis, 2013, 39, (1), 61-73 View citations (1)

2009

6. Estimated U.S. manufacturing production capital and technology based on an estimated dynamic structural economic model
   Journal of Economic Dynamics and Control, 2009, 33, (7), 1398-1418
7. Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity
   Computational Statistics & Data Analysis, 2009, 53, (6), 2061-2074 View citations (4)

2003

8. Higher-Moments in Perturbation Solution of the Linear-Quadratic Exponential Gaussian Optimal Control Problem
   Computational Economics, 2003, 21, (1_2), 45-64 View citations (6)

2002

9. An anticipative feedback solution for the infinite-horizon, linear-quadratic, dynamic, Stackelberg game
   Journal of Economic Dynamics and Control, 2002, 26, (9-10), 1397-1416 View citations (3)
   See also Working Paper An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games, Computing in Economics and Finance 2001 (2001) (2001)

2001

10. Analytic derivatives of the matrix exponential for estimation of linear continuous-time models1
    Journal of Economic Dynamics and Control, 2001, 25, (12), 1867-1879 View citations (5)

1998

11. An eigenvalue method of undetermined coefficients for solving linear rational expectations models
    Journal of Economic Dynamics and Control, 1998, 22, (8-9), 1353-1373 View citations (22)

1997

12. An Econometric Analysis of Polish Inflation Dynamics with Learning about Rational Expectations
    Economic Change and Restructuring, 1997, 30, (2-3), 221-38 View citations (4)

1993

13. Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
    Econometrica, 1993, 61, (4), 857-70 View citations (35)

1990

14. Forecasting U.S. GNP at monthly intervals with an estimated bivariate time series model
    Economic Review, 1990, (Nov), 2-15 View citations (14)

1988

15. A consistent, closed-loop solution for infinite-horizon, linear-quadratic, dynamic Stackelberg games
    Journal of Economic Dynamics and Control, 1988, 12, (1), 155-159 View citations (2)
16. Analytic Derivatives for Estimation of Discrete-Time
    Econometrica, 1988, 56, (2), 467-72 View citations (7)
17. Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies
    Econometric Theory, 1988, 4, (1), 108-124 View citations (62)

Chapters

2006

1. Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(p
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 365-379

2005

2. Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data
   Springer View citations (32)
   See also Working Paper Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data, CESifo (2004) View citations (52) (2004)

1999

3. AN EXTENDED YULE-WALKER METHOD FOR ESTIMATING A VECTOR AUTOREGRESSIVE MODEL WITH MIXED-FREQUENCEY DATA
   A chapter in Messy Data, 1999, pp 47-73