Testing for deterministic seasonality in mixed-frequency VARs
Tomás del Barrio Castro () and
Alain Hecq ()
Economics Letters, 2016, vol. 149, issue C, 20-24
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)
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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
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