Regression models with mixed sampling frequencies
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Publication:736674
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Cites work
- scientific article; zbMATH DE number 3395168 (Why is no real title available?)
- 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
- 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 Structural Estimation of a Stochastic Differential Equation System
- The problem of identification in finite parameter continuous time models
Cited in
(27)- High-Dimensional Mixed-Frequency IV Regression
- On model selection criteria for climate change impact studies
- 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
- Macro-financial dynamics: theories, empirical methods, and time scales
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- The estimation of continuous time models with mixed frequency data
- Forecasting inflation rates using daily data: a nonparametric MIDAS approach
- Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates
- Monitoring banking system connectedness with big data
- Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
- State Space Models and MIDAS Regressions
- The Bayesian nested Lasso for mixed frequency regression models
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- On the choice of instruments in mixed frequency specification tests
- Reverse restricted MIDAS model with application to US interest rate forecasts
- Mixed data sampling (MIDAS) regression models
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Macroeconomics and the reality of mixed frequency data
- On the use of high frequency measures of volatility in MIDAS regressions
- The econometric analysis of mixed frequency data sampling
- A self-normalizing approach to the specification test of mixed-frequency models
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Target PCA: transfer learning large dimensional panel data
- Testing for cointegration with temporally aggregated and mixed-frequency time series
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