Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096715 | Journal of Econometrics | 2010 | 16 Pages |
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 propose new tests to examine the null hypothesis of equal weights in aggregating time series in a regression model. We explore the above theoretical aspects and verify them via an extensive Monte Carlo simulation study and an empirical application.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Elena Andreou, Eric Ghysels, Andros Kourtellos,