Testing for deterministic seasonality in mixed-frequency VARs

DOI10.1016/J.ECONLET.2016.09.030MaRDI QIDQ1668620zbMATH OpenOpenAlexFDO

Authors 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

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

Cites work

• Efficient tests of the seasonal unit root hypothesis
• Macroeconomics and the reality of mixed frequency data
• MIDAS Regressions: Further Results and New Directions
• Nowcasting causality in mixed frequency vector autoregressive models
• Stochastic linear trends. Models and estimators
• Testing for Granger causality in large mixed-frequency VARs
• Testing for Granger causality with mixed frequency data
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The performance of lag selection and detrending methods for HEGY seasonal unit root tests

Cited in

(2)

• Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
• Rescaled variance tests for seasonal stationarity

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