Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series
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- Miller, J. Isaac, 2018. "Simple robust tests for the specification of high-frequency predictors of a low-frequency series," Econometrics and Statistics, Elsevier, vol. 5(C), pages 45-66.
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Cited by:
- Yun Liu & Yeonwoo Rho, 2018. "On the Choice of Instruments in Mixed Frequency Specification Tests," Papers 1809.05503, arXiv.org.
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More about this item
Keywords
temporal aggregation; mixed-frequency model; MIDAS; variable addition test; forecasting model comparison; retail gasoline prices;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-08-02 (Econometrics)
- NEP-ETS-2014-08-02 (Econometric Time Series)
- NEP-FOR-2014-08-02 (Forecasting)
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