Extracting Information from Mega-Panels and High-Frequency Data
AbstractVery large data sets in economics are already available and will soon become commonplace. The econometric techniques currently in use may not be relevant and new techniques will have to be devised. It can be argued that most tests of significance, linear models, assumptions of normality, and procedures to reduce bias, for example, will be replaced. The usefulness of asymptotic theory is discussed. It is suggested that methods for extracting conditional distributions will be becomes especially useful and a few particular possible techniques are suggested.
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Bibliographic InfoPaper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt17t2d9n6.
Date of creation: 01 Jan 1998
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high-frequency data; mega-panels;
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