I analyze efficient estimation of a cointegrating vector when the regressand is observed at a lower frequency than the regressors. Previous authors have examined the effects of specific temporal aggregation or sampling schemes, finding conventionally efficient techniques to be efficient only...

This paper introduces cointegrating mixed data sampling (CoMiDaS) regressions, generalizing nonlinear MiDaS regressions in the extant literature. Under a linear mixed-frequency data-generating process, MiDaS regressions provide a parsimoniously parameterized nonlinear alternative when the linear...

We examine how future real GDP growth relates to changes in the forecasted long-term average of discounted real oil prices and to changes in unanticipated fluctuations of real oil prices around the forecasts. Forecasts are conducted using a state-space oil market model, in which global real...

Parsimoniously specified distributed lag models have enjoyed a resurgence under the MiDaS moniker (Mixed Data Sampling) as a feasible way to model time series observed at very different sampling frequencies. I introduce cointegrating mixed data sampling (CoMiDaS) regressions. I derive asymptotic...

It is widely accepted that long-run elasticities of demand for electricity are not stable over time. We model long-run sectoral electricity demand using a time-varying cointegrating vector. Specifically, the coefficient on income (residential sector) or output (commercial and industrial sectors)...

We examine spatially correlated interregional flows measured as binary choice outcomes. Since the dependent variable is not only binary and dyadic, but also spatially correlated, we propose a spatial origin-destination probit model and a Bayesian estimation methodology that avoids inconsistent...

We analyze the sizes of standard cointegration tests applied to data subject to linear interpolation, discovering evidence of substantial size distortions induced by the interpolation. We propose modifications to these tests to effectively eliminate size distortion from such tests conducted on...

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. While it is well known that aggregation and sampling frequency do not affect the long-run properties of time series, we find that the effects of aggregation on the size of commonly...

I propose two simple variable addition test statistics for three tests of the specification of high-frequency predictors in a model to forecast a series observed at a lower frequency. The first is similar to existing test statistics and I show that it is robust to biased forecasts, integrated...

We introduce a panel model with a nonparametric functional coefficient of multiple arguments. The coefficient is a function both of time, allowing temporal changes in an otherwise linear model, and of the regressor itself, allowing nonlinearity. In contrast to a time series model, the effects of...