Testing for deterministic seasonality in mixed-frequency VARs

Tomás del Barrio Castro; Alain Hecq

doi:10.1016/j.econlet.2016.09.030

Testing for deterministic seasonality in mixed-frequency VARs

Tomás del Barrio Castro^*, Alain Hecq

^*Corresponding author for this work

QE Econometrics

Research output: Contribution to journal › Article › Academic › peer-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 language	English
Pages (from-to)	20-24
Number of pages	5
Journal	Economics Letters
Volume	149
DOIs	https://doi.org/10.1016/j.econlet.2016.09.030
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

Access to Document

10.1016/j.econlet.2016.09.030

Cite this

@article{aa19ef3a5a5d4fa1ab51455684ed1689,

title = "Testing for deterministic seasonality in mixed-frequency VARs",

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. ",

keywords = "Deterministic seasonal features, Mixed frequency VARs, GRANGER CAUSALITY, MODELS",

author = "{del Barrio Castro}, Tom{\'a}s and Alain Hecq",

note = "Data source : IBESTAT and EPA.",

year = "2016",

month = dec,

day = "1",

doi = "10.1016/j.econlet.2016.09.030",

language = "English",

volume = "149",

pages = "20--24",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Excerpta Medica, Elsevier Science",

}

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T1 - Testing for deterministic seasonality in mixed-frequency VARs

AU - del Barrio Castro, Tomás

AU - Hecq, Alain

N1 - Data source : IBESTAT and EPA.

PY - 2016/12/1

Y1 - 2016/12/1

N2 - This paper investigates the presence of deterministic seasonal features within a mixed frequency vector autoregressive model. A strategy based on Wald tests is proposed.

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

KW - Deterministic seasonal features

KW - Mixed frequency VARs

KW - GRANGER CAUSALITY

KW - MODELS

U2 - 10.1016/j.econlet.2016.09.030

DO - 10.1016/j.econlet.2016.09.030

M3 - Article

SN - 0165-1765

VL - 149

SP - 20

EP - 24

JO - Economics Letters

JF - Economics Letters

ER -