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Regression Models with Variables of Different Frequencies: The Case of a Fixed Frequency Ratio

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  • Virmantas Kvedaras
  • Alfredas Račkauskas

Abstract

An increasing variety of data frequencies available in economics, finance, etc. gives rise to a question how to build and estimate a regression model with variables observed at different frequencies. In a unifying framework of (m,d)‐aggregation we consider various approaches by discussing some potential and limitations. A Monte Carlo experiment and an empirical example illustrate that the traditional fixed aggregation approach, widely used in applied economics, might be inconsistent with data and highly inferior in terms of model precision.

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  • Virmantas Kvedaras & Alfredas Račkauskas, 2010. "Regression Models with Variables of Different Frequencies: The Case of a Fixed Frequency Ratio," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 600-620, October.
  • Handle: RePEc:bla:obuest:v:72:y:2010:i:5:p:600-620
    DOI: 10.1111/j.1468-0084.2010.00585.x
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    2. Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
    3. Cláudia Duarte, 2016. "A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data," Working Papers w201601, Banco de Portugal, Economics and Research Department.
    4. Kvedaras, Virmantas & Zemlys, Vaidotas, 2012. "Testing the functional constraints on parameters in regressions with variables of different frequency," Economics Letters, Elsevier, vol. 116(2), pages 250-254.
    5. Coneus, Katja & Spiess, C. Katharina, 2012. "Pollution exposure and child health: Evidence for infants and toddlers in Germany," Journal of Health Economics, Elsevier, vol. 31(1), pages 180-196.
    6. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-53, January.
    7. Bhaghoe, S. & Ooft, G. & Franses, Ph.H.B.F., 2019. "Estimates of quarterly GDP growth using MIDAS regressions," Econometric Institute Research Papers EI2019-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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