Extracting information from mega‐panels and high‐frequency data

Clive Granger

Statistica Neerlandica, 1998, vol. 52, issue 3, 258-272

Abstract: With the advent of very large data sets in economics, econometricians, with the help of statisticians, have to re‐evaluate current techniques and develop new procedures and their interpretation. Most tests of significance become irrelevant, for example, and conditional distributions become important, but difficult to report. Time series with high frequency data also present new and interesting questions.

Date: 1998
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https://doi.org/10.1111/1467-9574.00084

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Working Paper: Extracting Information from Mega-Panels and High-Frequency Data (1998)
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