Regression Models with Mixed Sampling Frequencies
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 provide a new aggregation bias test. We explore the above theoretical aspects and verify them via an extensive Monte Carlo simulation study and an empirical application.Download Info
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Paper provided by University of Cyprus Department of Economics in its series University of Cyprus Working Papers in Economics with number 8-2007.Length: 43 pages
Date of creation: Apr 2007
Date of revision:
Handle: RePEc:ucy:cypeua:8-2007
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Web page: http://www.econ.ucy.ac.cy
Related research
Keywords:Other versions of this item:
- Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009.
"MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area,"
CEPR Discussion Papers
7445, C.E.P.R. Discussion Papers.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542, April.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute.
- Winkelried, Diego, 2012. "Predicting quarterly aggregates with monthly indicators," Working Papers 2012-023, Banco Central de Reserva del Perú.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010.
"Should macroeconomic forecasters use daily financial data and how?,"
University of Cyprus Working Papers in Economics
09-2010, University of Cyprus Department of Economics.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper Series 42_10, The Rimini Centre for Economic Analysis.
- Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2012.
"U-MIDAS: MIDAS regressions with unrestricted lag polynomials,"
CEPR Discussion Papers
8828, C.E.P.R. Discussion Papers.
- Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2011. "U-MIDAS: MIDAS regressions with unrestricted lag polynomials," Discussion Paper Series 1: Economic Studies 2011,35, Deutsche Bundesbank, Research Centre.
- Neville Francis & Eric Ghysels & Michael T. Owyang, 2011. "The low-frequency impact of daily monetary policy shocks," Working Papers 2011-009, Federal Reserve Bank of St. Louis.
- Götz Thomas & Hecq Alain & Urbain Jean-Pierre, 2012. "Forecasting Mixed Frequency Time Series with ECM-MIDAS Models," Research Memoranda 012, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Götz Thomas B. & Hecq Alain & Urbain Jean-Pierre, 2012. "Real-Time Forecast Density Combinations (Forecasting US GDP Growth Using Mixed-Frequency Data)," Research Memoranda 021, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Ching Wai (Jeremy) Chiu & Bjørn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper RWP 11-11, Federal Reserve Bank of Kansas City.
- Stefan Dercon & John Hoddinott & Tassew Woldehanna, 2011.
"Growth and chronic poverty: Evidence from rural communities in Ethiopia,"
CSAE Working Paper Series
2011-18, Centre for the Study of African Economies, University of Oxford.
- Stefan Dercon & John Hoddinott & Tassew Woldehanna, 2012. "Growth and Chronic Poverty: Evidence from Rural Communities in Ethiopia," The Journal of Development Studies, Taylor and Francis Journals, vol. 48(2), pages 238-253, February.
- Christian Schumacher, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 28-49, February.
- Chen, Pu, 2009. "A Note on Updating Forecasts When New Information Arrives between Two Periods," Economics Discussion Papers 2009-22, Kiel Institute for the World Economy.
- Qian, Hang, 2010. "Linear regression using both temporally aggregated and temporally disaggregated data: Revisited," MPRA Paper 32686, University Library of Munich, Germany.
- Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013. "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series 2013/4, Knut Wicksell Centre for Financial Studies, Lund University.
- Qian, Hang, 2010. "Vector autoregression with varied frequency data," MPRA Paper 34682, University Library of Munich, Germany.
- Michelle T. Armesto & Kristie M. Engemann & Michael T. Owyang, 2010. "Forecasting with mixed frequencies," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 521-536.
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