Temporal Aggregation in the Multiple Regression Model

DOI10.2307/1914238MaRDI QIDQ4164207zbMATH OpenOpenAlexFDO

Authors John Geweke

Publication date 1978

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1914238

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cited in

(14)

• A test for spatial and temporal aggregation
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Extensions of the Hansen-Sargent prediction formulas to sampled and aggregated data
• The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
• Nonparametric transformation to white noise
• Granger causality and the sampling of economic processes
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• Identifying restrictions for finite parameter continuous time models with discrete time data
• State-space analysis of Granger-Geweke causality measures with application to fMRI
• Temporal aggregation in a multi-sector economy with endogenous growth
• High-Dimensional Mixed-Frequency IV Regression
• Identification and estimation of continuous-time dynamic discrete choice games
• Regression models with mixed sampling frequencies

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