Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data

DOI10.1108/S0731-9053(2013)0000031010zbMath1443.62151MaRDI QIDQ3295732

Jean-Pierre Urbain, Alain Hecq, Thomas B. Götz

Publication date: 10 July 2020

Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

zbMATH Keywords

cointegrationcommon cyclesMIDASmixed frequency vector autoregressive (VAR) model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (4)

Nowcasting causality in mixed frequency vector autoregressive models ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Testing for Granger causality with mixed frequency data ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

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