Cointegration and sampling frequency
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Publication:3018501
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Cites work
- scientific article; zbMATH DE number 3949563 (Why is no real title available?)
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Discrete and continuous time cointegration
- Discrete time representation of stationary and non-stationary continuous time systems
- Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
- Error Correction and Long-Run Equilibrium in Continuous Time
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
- Optimal Inference in Cointegrated Systems
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing for cointegration: Power versus frequency of observation--another view
- Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
- Testing for unit roots with flow data and varying sampling frequency
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
Cited in
(14)- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data
- Cointegrated continuous-time linear state-space and MCARMA models
- On model selection criteria for climate change impact studies
- Continuous time ARMA processes: discrete time representation and likelihood evaluation
- The estimation of continuous time models with mixed frequency data
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- Estimation of continuous and discrete time co-integrated systems with stock and flow variables
- Cointegrating polynomial regressions: fully modified OLS estimation and inference
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data
- On the size distortion from linearly interpolating low-frequency series for cointegration tests
- Fully Modified Least Squares and Vector Autoregression
- Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
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