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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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