Testing for Deterministic Seasonality in Mixed-Frequency VARs

Tomás del Barrio Castro and Alain Hecq

No 76, DEA Working Papers from Universitat de les Illes Balears, Departament d'Economía Aplicada

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
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Testing for deterministic seasonality in mixed-frequency VARs (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ubi:deawps:76

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