混合频率特性试验中仪器的选择
On the Choice of Instruments in Mixed Frequency Specification Tests
摘要：
时间平均是处理混合采样频率的传统方法。然而，它忽略了可能嵌入在高频中的信息。混合数据抽样（MIDAS）回归模型提供了一种简洁的方式来利用高频变量中的附加信息。在本文中，我们提出了一个规格测试选择时间平均和MIDAS模型，基于Durbin-Wu-Hausman测试。特别是，一组工具变量的建议和理论验证时，频率比大。因此，我们的方法往往比现有的方法更强大，通过模拟再次证实。
英文摘要：
Time averaging has been the traditional approach to handle mixed sampling frequencies. However, it ignores information possibly embedded in high frequency. Mixed data sampling (MIDAS) regression models provide a concise way to utilize the additional information in high-frequency variables. In this paper, we propose a specification test to choose between time averaging and MIDAS models, based on a Durbin-Wu-Hausman test. In particular, a set of instrumental variables is proposed and theoretically validated when the frequency ratio is large. As a result, our method tends to be more powerful than existing methods, as reconfirmed through the simulations.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
