Regression models with mixed sampling frequencies
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Cites work
- A Contribution to the Empirics of Economic Growth
- Are consumption-based intertemporal capital asset pricing models structural?
- Discrete Approximations to Continuous Time Distributed Lags in Econometrics
- Effect of temporal aggregation on the dynamic relationship of two time series variables
- scientific article; zbMATH DE number 3395168 (Why is no real title available?)
- Linear regression using both temporally aggregated and temporally disaggregated data
- MIDAS Regressions: Further Results and New Directions
- Optimal Inference in Cointegrated Systems
- Temporal Aggregation in the Multiple Regression Model
- The Estimation of Some Continuous Time Models
- The problem of identification in finite parameter continuous time models
- The Structural Estimation of a Stochastic Differential Equation System
Cited in
(33)- Testing the functional constraints on parameters in regressions with variables of different frequency
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Monitoring banking system connectedness with big data
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
- Mixed data sampling (MIDAS) regression models
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- A self-normalizing approach to the specification test of mixed-frequency models
- Forecasting inflation using commodity price aggregates
- On the choice of instruments in mixed frequency specification tests
- State Space Models and MIDAS Regressions
- Reverse restricted MIDAS model with application to US interest rate forecasts
- Forecasting inflation rates using daily data: a nonparametric MIDAS approach
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- On model selection criteria for climate change impact studies
- The Bayesian nested Lasso for mixed frequency regression models
- Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates
- Macro-financial dynamics: theories, empirical methods, and time scales
- High-Dimensional Mixed-Frequency IV Regression
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Target PCA: transfer learning large dimensional panel data
- Panel threshold mixed data sampling models with a covariate-dependent threshold
- High-dimensional mixed data sampling models with a covariate-dependent threshold
- Bayesian multivariate semi-Markov-switching MIxed DAta Sampling (MIDAS) regression with unknown configuration of hidden regimes
- Fully nonparametric MIDAS: a new approach for nonparametric mixed frequency time series regression
- Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
- The Effects of Temporal Aggregation on MIDAS Regressions
- The econometric analysis of mixed frequency data sampling
- Macroeconomics and the reality of mixed frequency data
- On the use of high frequency measures of volatility in MIDAS regressions
- The estimation of continuous time models with mixed frequency data
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