Regression models with mixed sampling frequencies

Journal of Econometrics

Volumn 158, Issue 2, 2010, Pages 246-261

  Andreou, Elena ^a,d   Ghysels, Eric ^b,c,d   Kourtellos, Andros ^a,d  

^a UNIVERSITY OF CYPRUS   (Cyprus)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

^c UNIVERSITY OF NORTH CAROLINA   (United States)

^d Gardner Hall CB 3305 ^*  (United States)

Author keywords

High frequency data; Temporal aggregation

Indexed keywords

ASYMPTOTIC PROPERTIES; DIFFERENT FREQUENCY; HIGH FREQUENCY DATA; LS ESTIMATOR; MONTE CARLO SIMULATION; NULL HYPOTHESIS; REGRESSION MODEL; SAMPLING FREQUENCIES; TEMPORAL AGGREGATION; THEORETICAL ASPECTS;

COMPUTER SIMULATION; FREQUENCY ESTIMATION; MONTE CARLO METHODS; TIME SERIES;

REGRESSION ANALYSIS;

EID: 77954848358     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.01.004     Document Type: Article

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