Testing the functional constraints on parameters in regressions with variables of different frequency
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References listed on IDEAS
- 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.
- Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- J. Isaac Miller, 2014. "Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series," Working Papers 1412, Department of Economics, University of Missouri.
- Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-53, January.
- repec:eee:ecosta:v:5:y:2018:i:c:p:45-66 is not listed on IDEAS
More about this item
KeywordsConstraint; Restriction; MIDAS; Specification; Test;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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