@article{ghanem2021which,
  title={What are the Benefits of High-Frequency Data for Fixed Effects Panel Models},
  author={Ghanem, Dalia and Smith, Aaron},
  journal={Journal of the Association of Environmental and Resource Economists},
  volume={8},
  number={2},
  pages={199-234},
  year={2021},
	keywords={econometrics},
	abstract={High-frequency panel data sets, where outcomes and regressors are observed at a daily or hourly frequency, are increasingly available in environmental and resource economics. To understand the potential gains from these richer datasets, this paper compares fixed effects estimators using high-frequency data with those using temporally aggregated data. We provide a set of conditions under which both estimators are consistent for the same parameter. Three departures from these conditions are: (1) response heterogeneity at the high-frequency dimension, (2) differential response to high- and low-frequency variation in the regressor, (3) nonlinearities in the relationship between the high-frequency outcome and regressor. Under these alternative conditions, the two estimators converge to different probability limits. In general, we recommend that empirical researchers think carefully about the features of the ``true'' high-frequency outcome equation to understand the effects of high-frequency data and temporal aggregation. We illustrate our results using an application to the energy-temperature relationship.},
	addendum={\textbf{Winner of Outstanding Publication in JAERE, 2021, AERE}},
	url={https://files.asmith.ucdavis.edu/2021_JAERE_GS_highfreq.pdf}
}

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