A consistent estimator for MIDAS regressions with measurement errors is proposed via corrected score and profile likelihood, with small- and large-sample properties examined through Monte Carlo simulations.
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Estimation of MIDAS Regressions with Errors-in-the-Variables
A consistent estimator for MIDAS regressions with measurement errors is proposed via corrected score and profile likelihood, with small- and large-sample properties examined through Monte Carlo simulations.