Extracting Information from Mega-Panels and High-Frequency Data

Clive W. J. Granger

No 1998-01, University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: Very large data sets in economics are already available and will soon become commonplace. The econometric techniques currently in use may not be relevant and new techniques will have to be devised. It can be argued that most tests of significance, linear models, assumptions of normality, and procedures to reduce bias, for example, will be replaced. The usefulness of asymptotic theory is discussed. It is suggested that methods for extracting conditional distributions will be becomes especially useful and a few particular possible techniques are suggested.

Keywords: high-frequency data; mega-panels (search for similar items in EconPapers)
Date: 1998-01-01
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Working Paper: Extracting Information from Mega-Panels and High-Frequency Data (1998)
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