Sukhbir Kaur, Sukhbir Singh, Kanchan Jain, Pooja Soni
arXiv 25 Apr 2026 · Statistics — Methodology
arXiv:2604.23469 · PDF · DOI · OpenAlex · Extracted main text
In this paper, a Mixed Data Sampling (MIDAS) model is studied when both low and high frequency variables are contaminated with measurement error. It is shown that the profile likelihood estimator becomes inconsistent in the presence of measurement error. Using the corrected score approach along with profile likelihood approach, a consistent estimator for parameters of MIDAS Measurement Error model is proposed. Small and large sample properties of the estimator are examined by performing a monte carlo simulation study and considering the effect of sample size, number of lags and profiling parameter.
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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 | Ghysels, Eric and Qian, Hang (2019) Estimating MIDAS regressions via OLS with polynomial parameter profiling | 1.000 | 9 | 6 | 100% |
| 2 | Ghysels, Eric and Sinko, Arthur and Valkanov, Rossen (2007) MIDAS Regressions: Further Results and New Directions | 0.928 | 4 | 3 | 100% |
| 3 | Nakamura, Tsuyoshi (1990) Corrected score function for errors-in-variables models | 0.644 | 2 | 2 | 100% |
| 4 | Singh, Sukhbir and Jain, Kanchan and Sharma, Suresh (2012) Using stochastic prior information in consistent estimation self | 0.405 | 1 | 1 | 100% |
| 5 | Ghysels, Eric and Santa-Clara, Pedro and Valkanov, Rossen (2004) The MIDAS Touch: Mixed Data Sampling Regression Models | 0.405 | 1 | 1 | 100% |
| 6 | Dolby, G. R (1976) The ultrastructural relation: A synthesis of the functional and structural relations | 0.405 | 1 | 1 | 100% |
| 7 | Staudenmayer, John and Buonaccorsi, John (2005) Measurement Error in Linear Autoregressive Models | 0.405 | 1 | 1 | 100% |
| 8 | Andreou, Elena and Ghysels, Eric and Kourtellos, Andros (2007) Regression Models With Mixed Sampling Frequencies | 0.405 | 1 | 1 | 100% |
| 9 | Cheng, Chi-Lun and Kukush, Alexander (2006) Non-Existence of the First Moment of the Adjusted Least Squares Estimator | 0.405 | 1 | 1 | 100% |
| 10 | Gleser, Leon J (1992) The Importance of Assessing Measurement Reliability | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.