Low - Frequency Econometrics ∗
نویسندگان
چکیده
Many questions in economics involve long-run or “trend” variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of low-frequency trigonometric weighted averages, which in turn can be used to conduct inference about long-run variability and covariability. Because the low-frequency weighted averages have large sample normal distributions, large sample valid inference can often be conducted using familiar small sample normal inference procedures. Moreover, the general approach is applicable for a wide range of persistent stochastic processes that go beyond the familiar (0) and (1) models. JEL classification: C22, C32, C12
منابع مشابه
Integer-valued Lévy processes and low latency financial econometrics
Motivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.
متن کاملDiscrete-valued Lévy processes and low latency financial econometrics
Motivated by features of low latency data in finance we study in detail discrete-valued Lévy processes as the basis of price processes for high frequency econometrics. An important case of this is a Skellam process, which is the difference of two independent Poisson processes. We propose a natural generalisation which is the difference of two negative binomial processes. We apply these models i...
متن کاملEvaluation of Factors Affecting Prescribing Behaviors, in Iran Pharmaceutical Market by Econometric Methods
Abstract Prescribing behavior of physicians affected by many factors. The present study is aimed at discovering the simultaneous effects of the evaluated factors (including: price, promotion and demographic characteristics of physicians) and quantification of these effects. In order to estimate these effects, Fluvoxamine (an antidepressant drug) was selected and the model was figured out by pan...
متن کاملEvaluation of Factors Affecting Prescribing Behaviors, in Iran Pharmaceutical Market by Econometric Methods
Abstract Prescribing behavior of physicians affected by many factors. The present study is aimed at discovering the simultaneous effects of the evaluated factors (including: price, promotion and demographic characteristics of physicians) and quantification of these effects. In order to estimate these effects, Fluvoxamine (an antidepressant drug) was selected and the model was figured out by pan...
متن کامل