Extracting Information from Mega-Panels and High-Frequency Data
University of California at San Diego, Department of Economics, Discussion Paper No. 98-01
Posted: 14 Aug 1998
Date Written: January 1998
Abstract
Very large data sets in economics are already available and will soon become commonplace. The econometric techniques currently in use may not be relevant and new techniques will have to be devised. It can be argued that most tests of significance, linear models, assumptions of normality, and procedures to reduce bias, for example, will be replaced. The usefulness of asymptotic theory is discussed. It is suggested that methods for extracting conditional distributions will be becomes especially useful and a few particular possible techniques are suggested.
JEL Classification: C10
Suggested Citation: Suggested Citation