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 language | English |
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Pages (from-to) | 20-24 |
Number of pages | 5 |
Journal | Economics Letters |
Volume | 149 |
DOIs | |
Publication status | Published - 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