We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a...

Despite the difference in information sets, we are able to compare the asymptotic distribution of volatility estimators involving data sampled at different frequencies. To do so, we propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed...

We revisit the relationship between pre-primary education and achievement test scores in the primary school, by employing a Bayesian Model Averaging (BMA) approach combined with Gini regression estimates. The data are taken from the OECD Programme for International Student Assessment (PISA) for...