Cointegration and sampling frequency

DOI10.1111/j.1368-423X.2010.00329.xzbMath1218.62089OpenAlexW1536641145MaRDI QIDQ3018501

Marcus J. Chambers

Publication date: 27 July 2011

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00329.x

zbMATH Keywords

fully modified estimation

Mathematics Subject Classification ID

Related Items (10)

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ On model selection criteria for climate change impact studies ⋮ Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data ⋮ The estimation of continuous time models with mixed frequency data ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data ⋮ Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

Cites Work

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