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Extracting Information from Mega-Panels and High-Frequency Data


  • Granger, Clive W.J.


Very 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.

Suggested Citation

  • Granger, Clive W.J., 1998. "Extracting Information from Mega-Panels and High-Frequency Data," University of California at San Diego, Economics Working Paper Series qt17t2d9n6, Department of Economics, UC San Diego.
  • Handle: RePEc:cdl:ucsdec:qt17t2d9n6

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    References listed on IDEAS

    1. Granger, C.W.J. & Pesaran, H., 1996. "A Decision_Theoretic Approach to Forecast Evaluation," Cambridge Working Papers in Economics 9618, Faculty of Economics, University of Cambridge.
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    Cited by:

    1. repec:eee:finsta:v:33:y:2017:i:c:p:273-284 is not listed on IDEAS
    2. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
    3. Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108.
    4. Kézdi, Gábor & Mátyás, László & Balázsi, László & Divényi, János Károly, 2014. "A közgazdasági adatforradalom és a panelökonometria
      [The revolution in economic data and panel econometrics]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1319-1340.
    5. Peter, Eckley, 2015. "Measuring economic uncertainty using news-media textual data," MPRA Paper 64874, University Library of Munich, Germany, revised 01 May 2015.
    6. Ian Koetsier & Jacob Bikker, 2017. "Herding behaviour of Dutch pension funds in sovereign bond investments," DNB Working Papers 569, Netherlands Central Bank, Research Department.
    7. Galema, Rients & Lensink, Robert & Spierdijk, Laura, 2011. "International diversification and Microfinance," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 507-515, April.
    8. Jacob Bikker & Laura Spierdijk & Paul Finnie, 2006. "Misspecifiation of the Panzar-Rosse Model: Assessing Competition in the Banking Industry," DNB Working Papers 114, Netherlands Central Bank, Research Department.
    9. repec:eee:jfinin:v:31:y:2017:i:c:p:93-106 is not listed on IDEAS

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    high-frequency data; mega-panels;


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