Regression models with mixed sampling frequencies

摘要

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 aggregatingor equally weighting data to estimate a model at the same sampling frequency. In addition we propose new tests to examine the null hypothesis of equal weights in aggregating time series in a regression model. We explore the above theoretical aspects andverify them via an extensive Monte Carlo simulation study and an empirical application.