作者: Elena Andreou , Eric Ghysels , Andros Kourtellos
DOI: 10.1016/J.JECONOM.2010.01.004
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摘要: We study regression models that involve data sampled at different frequencies. derive the asymptotic properties of NLS estimators such and compare them with LS a traditional model involves aggregating or equally weighting to estimate same sampling frequency. In addition we propose new tests examine null hypothesis equal weights in time series model. explore above theoretical aspects verify via an extensive Monte Carlo simulation empirical application.