Regression models with mixed sampling frequencies

Elena Andreou, Eric Ghysels and Andros Kourtellos ()

Journal of Econometrics, 2010, vol. 158, issue 2, 246-261

Abstract: 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.

Keywords: High; frequency; data; Temporal; aggregation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (194)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:158:y:2010:i:2:p:246-261

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