Testing for deterministic seasonality in mixed-frequency VARs

DOI10.1016/j.econlet.2016.09.030zbMath1490.62214OpenAlexW2531550793MaRDI QIDQ1668620

Tomás del Barrio Castro, Alain Hecq

Publication date: 29 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://www.uib.es/depart/deaweb/deawp/pdf/w76.pdf

zbMATH Keywords

deterministic seasonal featuresmixed frequency VARs

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• MIDAS Regressions: Further Results and New Directions
• Efficient tests of the seasonal unit root hypothesis
• Stochastic linear trends. Models and estimators
• Macroeconomics and the reality of mixed frequency data
• Testing for Granger causality in large mixed-frequency VARs
• Nowcasting causality in mixed frequency vector autoregressive models
• The Econometric Analysis of Seasonal Time Series
• The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
• Testing for Granger causality with mixed frequency data

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