On the exam, they ask about asynchonism- which is defined in the textbook as “a discrepancy in the dating of observations that occurs because stale data may be used in the absence of current data”.
The answer key on question 27 says: “O’Reilly’s answer is incorrect with respect to correlation estimates. High-frequency data are more sensitive to
asynchronism across variables and, as a result, tend to produce lower correlation estimates.”
I don’t understand what this means- wouldn’t high frequency data (in this case, daily) be less sensitive to asynchronism because there is “fresher” data?
Thanks
Hi everyone |
发表于 2013-4-8 22:45
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