Regression models with mixed sampling frequencies

被引：187

作者：

Andreou, Elena ^{[2
]}

Ghysels, Eric ^{[1
,3
]}

Kourtellos, Andros ^{[2
]}

机构：

[1] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA

[2] Univ Cyprus, Dept Econ, Nicosia, Cyprus

[3] Kenan Flagler Business Sch, Dept Finance, Chapel Hill, NC USA

来源：

JOURNAL OF ECONOMETRICS | 2010年 / 158卷 / 02期

基金：

欧洲研究理事会;

关键词：

High frequency data; Temporal aggregation; TEMPORAL AGGREGATION;

D O I：

10.1016/j.jeconom.2010.01.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a model at the same sampling frequency. In addition we propose new tests to examine the null hypothesis of equal weights in aggregating time series in a regression model. We explore the above theoretical aspects and verify them via an extensive Monte Carlo simulation study and an empirical application. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：246 / 261

页数：16

共 18 条

[1]

Bernanke BS, 2002, NBER MACROEC ANN-SER, V16, P11

[2]

Dhrymes P., 1971, Distributed Lags: Problems of Estimation and Formulation

[3]

Engle R. F., 1972, ECONOMETRIC MODELS C, P673

[4] TEMPORAL AGGREGATION IN MULTIPLE-REGRESSION MODEL [J].