Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series

@inproceedings{Miller2014SimpleRT,
  title={Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series},
  author={Joseph I Miller},
  year={2014}
}
I propose two simple variable addition test statistics for three tests of the specification of high-frequency predictors in a model to forecast a series observed at a lower frequency. The first is similar to existing test statistics and I show that it is robust to biased forecasts, integrated and cointegrated predictors, and deterministic trends, while it is feasible and consistent even if estimation is not feasible under the alternative. It is not robust to biased forecasts with integrated… CONTINUE READING

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