Cointegrating MiDaS Regressions and a MiDaS Test
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- Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain, 2014.
"Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 33(3), pages 198-213, April.
- GÃ¶tz Thomas & Hecq Alain & Urbain Jean-Pierre, 2012. "Forecasting Mixed Frequency Time Series with ECM-MIDAS Models," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hecq A.W. & Urbain J.R.Y.J. & GÃ¶tz T.B., 2013. "Testing for common cycles in non-stationary VARs with varied frecquency data," Research Memorandum 002, Maastricht University, Graduate School of Business and Economics (GSBE).
More about this item
Keywordscointegration; mixed-frequency series; mixed data sampling;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
- NEP-ECM-2011-06-25 (Econometrics)
- NEP-ETS-2011-06-25 (Econometric Time Series)
- NEP-FOR-2011-06-25 (Forecasting)
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