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Estimation of MIDAS Regressions with Errors-in-the-Variables

Author

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  • Sukhbir Kaur
  • Sukhbir Singh
  • Kanchan Jain
  • Pooja Soni

Abstract

In this paper, a Mixed Data Sampling (MIDAS) model is studied when both low and high frequency variables are contaminated with measurement error. It is shown that the profile likelihood estimator becomes inconsistent in the presence of measurement error. Using the corrected score approach along with profile likelihood approach, a consistent estimator for parameters of MIDAS Measurement Error model is proposed. Small and large sample properties of the estimator are examined by performing a monte carlo simulation study and considering the effect of sample size, number of lags and profiling parameter.

Suggested Citation

  • Sukhbir Kaur & Sukhbir Singh & Kanchan Jain & Pooja Soni, 2026. "Estimation of MIDAS Regressions with Errors-in-the-Variables," Papers 2604.23469, arXiv.org.
    • Handle: RePEc:arx:papers:2604.23469
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    References listed on IDEAS

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    1. Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
    2. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
    3. Staudenmayer, John & Buonaccorsi, John P., 2005. "Measurement Error in Linear Autoregressive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 841-852, September.
    4. Carroll, R. J. & Eltinge, J. L. & Ruppert, D., 1993. "Robust linear regression in replicated measurement error models," Statistics & Probability Letters, Elsevier, vol. 16(3), pages 169-175, February.
    5. Sukhbir Singh & Kanchan Jain & Suresh Sharma, 2014. "Replicated measurement error model under exact linear restrictions," Statistical Papers, Springer, vol. 55(2), pages 253-274, May.
    6. Jain, Kanchan & Singh, Sukhbir & Sharma, Suresh, 2011. "Restricted estimation in multivariate measurement error regression model," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 264-280, February.
    7. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    8. Ghysels, Eric & Qian, Hang, 2019. "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, vol. 9(C), pages 1-16.
    9. Shalabh & Garg, Gaurav & Misra, Neeraj, 2007. "Restricted regression estimation in measurement error models," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1149-1166, October.
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