On the choice of instruments in mixed frequency specification tests

DOI10.1080/03610926.2018.1528367OpenAlexW2951802845WikidataQ128880582 ScholiaQ128880582MaRDI QIDQ5077968

Yeonwoo Rho, Yun Liu

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05503

zbMATH Keywords

instrumental variablespecification testtime averagingDurbin-Wu-Hausman testmixed data sampling regression model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Regression models with mixed sampling frequencies
• Micro-Econometrics
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A self-normalizing approach to the specification test of mixed-frequency models

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