Regression models with mixed sampling frequencies
dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Ghysels, Eric | en |
dc.contributor.author | Kourtellos, Andros | en |
dc.creator | Andreou, Elena | en |
dc.creator | Ghysels, Eric | en |
dc.creator | Kourtellos, Andros | en |
dc.date.accessioned | 2019-05-03T05:21:47Z | |
dc.date.available | 2019-05-03T05:21:47Z | |
dc.date.issued | 2010 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47092 | |
dc.description.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. © 2010 Elsevier B.V. All rights reserved. | en |
dc.language.iso | eng | en |
dc.source | Journal of Econometrics | en |
dc.subject | Frequency estimation | en |
dc.subject | Regression analysis | en |
dc.subject | Regression model | en |
dc.subject | Computer simulation | en |
dc.subject | Asymptotic properties | en |
dc.subject | Different frequency | en |
dc.subject | High frequency data | en |
dc.subject | LS estimator | en |
dc.subject | Monte Carlo methods | en |
dc.subject | Monte Carlo Simulation | en |
dc.subject | Null hypothesis | en |
dc.subject | Sampling frequencies | en |
dc.subject | Temporal aggregation | en |
dc.subject | Theoretical aspects | en |
dc.subject | Time series | en |
dc.title | Regression models with mixed sampling frequencies | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.jeconom.2010.01.004 | |
dc.description.volume | 158 | |
dc.description.startingpage | 246 | |
dc.description.endingpage | 261 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.contributor.orcid | Kourtellos, Andros [0000-0001-9662-0420] | |
dc.description.totalnumpages | 246-261 | |
dc.gnosis.orcid | 0000-0001-9662-0420 |
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