arXiv 14 Sep 2018 · Econometrics · publishedCommunication in Statistics-Theory and Methods (2018) · 2 citations (OpenAlex)
arXiv:1809.05503 · PDF · DOI · OpenAlex · Extracted main text
Time averaging has been the traditional approach to handle mixed sampling frequencies. However, it ignores information possibly embedded in high frequency. Mixed data sampling (MIDAS) regression models provide a concise way to utilize the additional information in high-frequency variables. In this paper, we propose a specification test to choose between time averaging and MIDAS models, based on a Durbin-Wu-Hausman test. In particular, a set of instrumental variables is proposed and theoretically validated when the frequency ratio is large. As a result, our method tends to be more powerful than existing methods, as reconfirmed through the simulations.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Isaac J. Miller (2018) Simple robust tests for the specification of high-frequency predictors of a low-frequency series | 0.928 | 4 | 3 | 100% |
| 2 | Elena Andreou, Eric Ghysels, and Andros Kourtellos (2010) Regression models with mixed sampling frequencies | 0.928 | 4 | 3 | 100% |
| 3 | Donald W K Andrews (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.644 | 2 | 2 | 100% |
| 4 | Whitney Newey and Kenneth D. West (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix | 0.644 | 2 | 2 | 100% |
| 5 | Myoung Jae Lee (2010) Micro-econometrics: Methods of moments and limited dependent variables (Second Edition) | 0.511 | 2 | 2 | 50% |
| 6 | Eric Ghysels, Pedro Santa-Clara, and Rossen Valkanov (2004) The MIDAS touch: Mixed data sampling regression models | 0.405 | 1 | 1 | 100% |
| 7 | William H. Greene (2012) Econometric Analysis, 7th Edition | 0.405 | 1 | 1 | 100% |
| 8 | Henriette Groenvik and Yeonwoo Rho (2018) A self-normalizing approach to the specification test of mixed-frequency models self | 0.405 | 1 | 1 | 100% |
| 9 | Paul Ruud (2000) An Introduction to Classical Econometric Theory | 0.405 | 1 | 1 | 100% |
| 10 | Claudia Foroni and Massimiliano Giuseppe Marcellino (2013) A survey of econometric methods for mixed-frequency data | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 10 scored citations.