This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly … stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such … as when monthly data is aggregated into quarters. A variable aggregation frequency implies that the aggregated process …

aggregation property of the probit model, a suggestion is given on how to estimate time-specific effects on aggregate data as a …

economics. With increased computation power and advanced simulation techniques, random-coefficient models have gained an …

scheme of the identified factors. The weighting scheme in the Monte-Carlo simulation randomly creates an interval …

methodological approach employed is based on a Monte-Carlo simulation and allows for improving the information the composite …

components are retained in the analysis. By Monte Carlo simulation it offers, moreover, the best strategy to identify the number …

This paper builds on the Empirical Monte Carlo simulation approach developed by Huber et al. (2013) to study the …