Hölderian properties of partial sums of regression residuals

In this paper we investigate Hölder convergence of polygonal line process based on residuals of linear regression model. Bootstrap counterpart is also studied. Our results provide additional tools for testing epidemic type structural changes in regression models.     

Regression Models with Variables of Different Frequencies: The Case of a Fixed Frequency Ratio*

An increasing variety of data frequencies available in economics, finance, etc. gives rise to a question how to build and estimate a regression model with variables observed at different frequencies. In a unifying framework of (m,d)‐aggregation we consider various approaches by discussing some potential and limitations. A Monte Carlo experiment and an empirical example illustrate that the traditional fixed aggregation approach, widely used in applied economics, might be inconsistent with data and highly inferior in terms of model precision.