A self-normalizing approach to the specification test of mixed-frequency models

DOI10.1080/03610926.2017.1332222zbMATH Open1392.62055OpenAlexW2511804335MaRDI QIDQ4563504FDOQ4563504

Authors: Henriette Groenvik, Yeonwoo Rho 

Publication date: 1 June 2018

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

Full work available at URL: https://digitalcommons.mtu.edu/etdr/127

Recommendations

• Regression models with mixed sampling frequencies
• Mixed-frequency vector autoregressive models
• Mixed data sampling (MIDAS) regression models
• Testing the functional constraints on parameters in regressions with variables of different frequency
• MIDAS Regressions: Further Results and New Directions

zbMATH Keywords

specification testsself-normalizationmixed frequencyMIDAS models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing That a Dependent Process Is Uncorrelated
• A Self-Normalized Approach to Confidence Interval Construction in Time Series
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Simple Robust Testing of Regression Hypotheses
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Simple Robust Testing of Hypotheses in Nonlinear Models
• Regression models with mixed sampling frequencies

Cited In (2)

• On model selection criteria for climate change impact studies
• On the choice of instruments in mixed frequency specification tests

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