Regression models with mixed sampling frequencies

DOI10.1016/J.JECONOM.2010.01.004zbMATH Open1431.62580OpenAlexW2168211193MaRDI QIDQ736674FDOQ736674

Authors: Elena Andreou, Eric Ghysels, Andros Kourtellos 

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://papers.econ.ucy.ac.cy/RePEc/papers/07-08.pdf

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zbMATH Keywords

high-frequency datatemporal aggregation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• MIDAS Regressions: Further Results and New Directions
• Optimal Inference in Cointegrated Systems
• Title not available (Why is that?)
• The problem of identification in finite parameter continuous time models
• A Contribution to the Empirics of Economic Growth
• Temporal Aggregation in the Multiple Regression Model
• Discrete Approximations to Continuous Time Distributed Lags in Econometrics
• Are consumption-based intertemporal capital asset pricing models structural?
• The Structural Estimation of a Stochastic Differential Equation System
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• The Estimation of Some Continuous Time Models
• Linear regression using both temporally aggregated and temporally disaggregated data

Cited In (26)

• Monitoring banking system connectedness with big data
• On model selection criteria for climate change impact studies
• State Space Models and MIDAS Regressions
• Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates
• Mixed data sampling (MIDAS) regression models
• Macroeconomics and the reality of mixed frequency data
• On the use of high frequency measures of volatility in MIDAS regressions
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• The estimation of continuous time models with mixed frequency data
• The Bayesian nested Lasso for mixed frequency regression models
• Macro-financial dynamics: theories, empirical methods, and time scales
• Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
• High-Dimensional Mixed-Frequency IV Regression
• Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
• Testing the functional constraints on parameters in regressions with variables of different frequency
• Forecasting inflation using commodity price aggregates
• A self-normalizing approach to the specification test of mixed-frequency models
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• Target PCA: transfer learning large dimensional panel data
• Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
• On the choice of instruments in mixed frequency specification tests
• Reverse restricted MIDAS model with application to US interest rate forecasts
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies

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