Asymptotic Distributions of Nonlinear Least Squares Estimators for Panel-MIDAS Models
面板MIDAS模型非线性最小二乘估计量的渐近分布
The Mixed Data Sampling (MIDAS) approach provides a flexible framework for incorporating mixed-frequency data into econometric models. In this paper, we introduce the MIDAS framework into a panel data model and derive the asymptotic properties of the NLS estimator under a joint asymptotic framework where both N and T tend to infinity, allowing for heteroskedasticity and arbitrary correlation within each individual. To facilitate valid inference, we construct robust…