Kvedaras, Virmantas; Ra, Alfredas; ccaron; kauskas - In: Oxford Bulletin of Economics and Statistics 72 (2010) 5, pp. 600-620
An increasing variety of data frequencies available in economics, finance, etc. gives rise to a question how to build and estimate a regression model with variables observed at different frequencies. In a unifying framework of ("m,d")-aggregation we consider various approaches by discussing some...