Frequency domain estimation of temporally aggregated Gaussian cointegrated systems

DOI10.1016/J.JECONOM.2006.03.005zbMath1418.62307OpenAlexW2041101571MaRDI QIDQ278231

J. Roderick McCrorie, Marcus J. Chambers

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.03.005

zbMATH Keywords

frequency domaincointegrationcontinuous timetemporal aggregationGaussian estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (14)

DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA ⋮ REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ On model selection criteria for climate change impact studies ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Cointegration and sampling frequency ⋮ The estimation of continuous time models with mixed frequency data ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ Testing for seasonal unit roots by frequency domain regression ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data ⋮ Discrete time representation of stationary and non-stationary continuous time systems ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

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