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dc.contributor.authorAndreou, Elenaen
dc.contributor.authorGhysels, Ericen
dc.contributor.authorKourtellos, Androsen
dc.creatorAndreou, Elenaen
dc.creatorGhysels, Ericen
dc.creatorKourtellos, Androsen
dc.description.abstractWe 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.sourceJournal of Econometricsen
dc.subjectFrequency estimationen
dc.subjectRegression analysisen
dc.subjectRegression modelen
dc.subjectComputer simulationen
dc.subjectAsymptotic propertiesen
dc.subjectDifferent frequencyen
dc.subjectHigh frequency dataen
dc.subjectLS estimatoren
dc.subjectMonte Carlo methodsen
dc.subjectMonte Carlo Simulationen
dc.subjectNull hypothesisen
dc.subjectSampling frequenciesen
dc.subjectTemporal aggregationen
dc.subjectTheoretical aspectsen
dc.subjectTime seriesen
dc.titleRegression models with mixed sampling frequenciesen
dc.description.endingpage261Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and ManagementΤμήμα Οικονομικών / Department of Economics
dc.contributor.orcidKourtellos, Andros [0000-0001-9662-0420]

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