Testing for deterministic seasonality in mixed-frequency VARs

Tomás del Barrio Castro, Alain Hecq

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This paper investigates the presence of deterministic seasonal features within a mixed frequency vector autoregressive model. A strategy based on Wald tests is proposed. 

Original languageEnglish
Pages (from-to)20-24
Number of pages5
JournalEconomics Letters
Volume149
DOIs
Publication statusPublished - 1 Dec 2016

JEL classifications

  • c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"

Keywords

  • Deterministic seasonal features
  • Mixed frequency VARs
  • GRANGER CAUSALITY
  • MODELS

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