Estimation of MIDAS Regressions with Errors-in-the-Variables
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arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2026
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| Acceso en línea: | |
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| _version_ | 1866917436900507648 |
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| author | Kaur, Sukhbir Singh, Sukhbir Jain, Kanchan Soni, Pooja |
| author_facet | Kaur, Sukhbir Singh, Sukhbir Jain, Kanchan Soni, Pooja |
| contents | In this paper, a Mixed Data Sampling (MIDAS) model is studied when both low and high frequency variables are contaminated with measurement error. It is shown that the profile likelihood estimator becomes inconsistent in the presence of measurement error. Using the corrected score approach along with profile likelihood approach, a consistent estimator for parameters of MIDAS Measurement Error model is proposed. Small and large sample properties of the estimator are examined by performing a monte carlo simulation study and considering the effect of sample size, number of lags and profiling parameter. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_23469 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Estimation of MIDAS Regressions with Errors-in-the-Variables Kaur, Sukhbir Singh, Sukhbir Jain, Kanchan Soni, Pooja Methodology Econometrics In this paper, a Mixed Data Sampling (MIDAS) model is studied when both low and high frequency variables are contaminated with measurement error. It is shown that the profile likelihood estimator becomes inconsistent in the presence of measurement error. Using the corrected score approach along with profile likelihood approach, a consistent estimator for parameters of MIDAS Measurement Error model is proposed. Small and large sample properties of the estimator are examined by performing a monte carlo simulation study and considering the effect of sample size, number of lags and profiling parameter. |
| title | Estimation of MIDAS Regressions with Errors-in-the-Variables |
| topic | Methodology Econometrics |
| url | https://arxiv.org/abs/2604.23469 |