Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Regression analysis"

Now showing items 1-4 of 4

    • Article  

      Dynamic misspecification in nonparametric cointegrating regression 

      Kasparis, Ioannis; Phillips, Peter C. B. (2012)
      Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...
    • Article  

      Nonparametric predictive regression 

      Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)
      A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...
    • Article  

      On the use of high frequency measures of volatility in MIDAS regressions 

      Andreou, Elena (2016)
      Many empirical studies link mixed data frequency variables such as low frequency macroeconomic or financial variables with high frequency financial indicators’ volatilities, especially within a predictive regression model ...
    • Article  

      Regression models with mixed sampling frequencies 

      Andreou, Elena; Ghysels, Eric; Kourtellos, Andros (2010)
      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 ...