Testing the functional constraints on parameters in regressions with variables of different frequency
We propose a test for the evaluation of statistical acceptability of a functional constraint which is imposed on parameters in the mixed data sampling regressions. The asymptotic behavior of the test statistic is characterized and a few other extensions are discussed.
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- Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2007.
"Regression Models with Mixed Sampling Frequencies,"
University of Cyprus Working Papers in Economics
8-2007, University of Cyprus Department of Economics.
- Virmantas Kvedaras & Alfredas Račkauskas, 2010. "Regression Models with Variables of Different Frequencies: The Case of a Fixed Frequency Ratio," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 600-620, October.
- Michelle T. Armesto & Kristie M. Engemann & Michael T. Owyang, 2010. "Forecasting with mixed frequencies," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 521-536.
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