Dr. Haoran Li recently had a paper published in the Oxford Bulletin of Economics and Statistics. The paper titled‘ Estimation of Panel Data Models with Mixed Sampling Frequencies’, was coauthored with Yimin Yang from Renmin University of China and Fei Jia from Saint Louis University.

Abstract

Standard panel models usually assume that data are available at the same frequency. Occasionally, researchers might work with variables sampled at different frequencies. A common practice is to aggregate all variables to the same frequency by an equal weighting scheme. We show that such a simple aggregation scheme results in biases for common estimators. We propose a data-driven method to determine weights for aggregation. We further demonstrate that, in contrast with single-frequency panel models, the Mundlak device and the Chamberlain’s approach lead to different estimators for panels with mixed sampling frequencies. The proposed estimators have satisfying finite sample performances in various simulation designs. As an empirical illustration, we apply the new method to the estimation of the effects of temperature fluctuations on economic growth. The empirical evidence shows that the temperature shocks mainly work through the level effect instead of the growth effect for poor countries.

Other information

Publication Date:2023

Journal: Oxford Bulletin of Economics and Statistics

DOI:https://doi.org/10.1111/obes.12536

Read the paper here.