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Aggregation of Linear Models for Panel Data

Petkovic, Alexandre; Veredas, David - 2009

We study the impact of individual and temporal aggregation in linear static and dynamic models for panel data in terms …

Persistent link: https://www.econbiz.de/10014204593

Conditionally efficient estimation of long-run relationships using mixed-frequency time series

Miller, J. Isaac - In: Econometric reviews 35 (2016) 5/7, pp. 1142-1171

Persistent link: https://www.econbiz.de/10011591156

Panel data vs time series regression analysis : an aggregation issue; a comparison using labour demand functions

Parigi, Giuseppe; Urga, Giovanni - 1993

Persistent link: https://www.econbiz.de/10000137686

Aggregation versus heterogeneity in cross-country growth empirics

Eberhardt, Markus; Teal, Francis J. - 2011

manufacturing for a panel of 41 developing and developed countries (1963-1992). We employ novel empirical methods which can …

Persistent link: https://www.econbiz.de/10009419804

Chow-Lin x N : how adding a panel dimension can improve accuracy

Bettendorf, Timo; Bursian, Dirk - 2017

Single equation models are well established among academics and practitioners to perform temporal disaggregation of low frequency time series using available related series. In this paper, we propose an extension that exploits information from the cross-sectional dimension. More specifically, we...

Persistent link: https://www.econbiz.de/10011649195

Assessing cohort aggregation to minimise bias in pseudo-panels

Khan, Rumman - 2018

Pseudo-panels allow estimation of panel models when only repeated cross-sections are available. This involves grouping … individuals into cohorts and using the cohort means as if they are observations in a genuine panel. Their practical use is … mimic panel estimates. We create two metrics for assessing the grouping process, one for each potential source of bias. If …

Persistent link: https://www.econbiz.de/10011781802

Panel data estimators and aggregation

Biørn, Erik - 2016

For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period …

Persistent link: https://www.econbiz.de/10011585187

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...

Persistent link: https://www.econbiz.de/10011948760

Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Chudik, Alexander; Georgiadis, Georgios - 2019

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10012058985

Estimation of continuous and discrete time co-integrated systems with stock and flow variables

González Olivares, Daniel; Guizar, Isai - In: Journal of time series econometrics 13 (2021) 2, pp. 145-186

Persistent link: https://www.econbiz.de/10012612767