期刊
JOURNAL OF ECONOMETRICS
卷 158, 期 2, 页码 246-261出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2010.01.004
关键词
High frequency data; Temporal aggregation
资金
- Leventis Foundation [3411-32021]
- European Community
- European Community, ERC [209116]
- European Research Council (ERC) [209116] Funding Source: European Research Council (ERC)
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. (C) 2010 Elsevier B.V. All rights reserved.
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