Article ID Journal Published Year Pages File Type
5060566 Economics Letters 2012 5 Pages PDF
Abstract
► We derive a test for the adequacy of the MIDAS regression models. ► Serial correlation and heteroscedasticity of errors are allowed in the regression. ► The asymptotic behavior of the test statistic is characterized. ► A Monte Carlo experiment illustrates the test performance in finite samples.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Testing the functional constraints on parameters in regressions with variables of different frequency
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