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

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.

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Year of publication:	2012
Authors:	Kvedaras, Virmantas ; Zemlys, Vaidotas
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 2, p. 250-254
Publisher:	Elsevier
Subject:	Constraint \| Restriction \| MIDAS \| Specification \| Test

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

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