On the choice of instruments in mixed frequency specification tests

DOI10.1080/03610926.2018.1528367MaRDI QIDQ5077968zbMATH OpenOpenAlexWikidataFDO

Authors Yun Liu, Yeonwoo Rho

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 variableDurbin-Wu-Hausman testspecification testtime averagingmixed data sampling regression model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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

Cited in

(1)

• On model selection criteria for climate change impact studies

This page was built for publication: On the choice of instruments in mixed frequency specification tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5077968)