Testing for deterministic seasonality in mixed-frequency VARs

Tomás del Barrio Castro and Alain Hecq

Economics Letters, 2016, vol. 149, issue C, 20-24

Abstract: This paper investigates the presence of deterministic seasonal features within a mixed frequency vector autoregressive model. A strategy based on Wald tests is proposed.

Keywords: Deterministic seasonal features; Mixed frequency VARs (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Working Paper: Testing for Deterministic Seasonality in Mixed-Frequency VARs (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24

DOI: 10.1016/j.econlet.2016.09.030

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