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econ.EM2020
Revealing Cluster Structures Based on Mixed Sampling Frequencies
Yeonwoo Rho, Yun Liu, Hie Joo Ahn
This paper proposes a new linearized mixed data sampling (MIDAS) model and develops a framework to infer clusters in a panel regression with mixed frequency data. The linearized MI…
econ.EM2018
On the Choice of Instruments in Mixed Frequency Specification Tests
Yun Liu, Yeonwoo Rho
Time averaging has been the traditional approach to handle mixed sampling frequencies. However, it ignores information possibly embedded in high frequency. Mixed data sampling (MID…
econ.EM2018
Bootstrap-Assisted Unit Root Testing With Piecewise Locally Stationary Errors
Yeonwoo Rho, Xiaofeng Shao
In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order…