Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
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Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
- Canonical Cointegrating Regressions
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Cointegration and sampling frequency
- Comparing cointegrating regression estimators:
- ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
- Estimation of vector error correction models with mixed-frequency data
- Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- scientific article; zbMATH DE number 1538094 (Why is no real title available?)
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- Optimal Inference in Cointegrated Systems
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Regression models with mixed sampling frequencies
- Statistical analysis of cointegration vectors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
- Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
- THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
Cited in
(7)- Multiscale fluctuation features of the dynamic correlation between bivariate time series
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- On model selection criteria for climate change impact studies
- Retrieval from mixed sampling frequency: generic identifiability in the unit root VAR
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