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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Volume (Year): 116 (2012)
Issue (Month): 2 ()
Pages: 250-254
| Handle: | RePEc:eee:ecolet:v:116:y:2012:i:2:p:250-254 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/ecolet
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References listed on IDEAS
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- Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010.
"Regression models with mixed sampling frequencies,"
Journal of Econometrics,
Elsevier, vol. 158(2), pages 246-261, October.
- 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.
- 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.
- 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.
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