IDEAS home Printed from https://ideas.repec.org/a/ucp/jaerec/doi10.1086-710968.html
   My bibliography  Save this article

What Are the Benefits of High-Frequency Data for Fixed Effects Panel Models?

Author

Listed:
  • Dalia Ghanem
  • Aaron Smith

Abstract

High-frequency panel data sets, where outcomes and regressors are observed at a daily or hourly frequency, are increasingly available in environmental and resource economics. To understand the potential gains from these richer data sets, this paper compares fixed effects estimators using high-frequency data with those using temporally aggregated data. We provide a set of conditions under which both estimators are consistent for the same parameter. Three departures from these conditions are (1) response heterogeneity at the high-frequency dimension, (2) differential response to high- and low-frequency variation in the regressor, and (3) nonlinearities in the relationship between the high-frequency outcome and regressor. Under these alternative conditions, the two estimators converge to different probability limits. In general, we recommend that empirical researchers think carefully about the features of the “true” high-frequency outcome equation to understand the effects of high-frequency data and temporal aggregation. We illustrate our results using an application to the energy-temperature relationship.

Suggested Citation

  • Dalia Ghanem & Aaron Smith, 2021. "What Are the Benefits of High-Frequency Data for Fixed Effects Panel Models?," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 8(2), pages 199-234.
    • Handle: RePEc:ucp:jaerec:doi:10.1086/710968
    DOI: 10.1086/710968
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/710968
    Download Restriction: Access to the online full text or PDF requires a subscription.
    File URL: http://dx.doi.org/10.1086/710968
    Download Restriction: Access to the online full text or PDF requires a subscription.
    File URL: https://libkey.io/10.1086/710968?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liang, Jing & Qiu, Yueming (Lucy) & Xing, Bo, 2022. "Impacts of the co-adoption of electric vehicles and solar panel systems: Empirical evidence of changes in electricity demand and consumer behaviors from household smart meter data," Energy Economics, Elsevier, vol. 112(C).
    2. Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2023. "Asymmetric effects of market uncertainties on agricultural commodities," Energy Economics, Elsevier, vol. 127(PB).
    3. Lee, Wang-Sheng & Tran, Trang My, 2024. "Emissions from Military Training: Evidence from Australia," IZA Discussion Papers 16889, Institute of Labor Economics (IZA).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jaerec:doi:10.1086/710968. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journals Division (email available below). General contact details of provider: https://www.journals.uchicago.edu/JAERE .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.