Testing the functional constraints on parameters in regressions with variables of different frequency

Virmantas Kvedaras and Vaidotas Zemlys

Economics Letters, 2012, vol. 116, issue 2, 250-254

Abstract: 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.

Keywords: Constraint; Restriction; MIDAS; Specification; Test (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C51 C52 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176512000961
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:2:p:250-254

DOI: 10.1016/j.econlet.2012.03.009

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().