Cointegration and sampling frequency
From MaRDI portal
Publication:3018501
DOI10.1111/j.1368-423X.2010.00329.xzbMath1218.62089MaRDI QIDQ3018501
Publication date: 27 July 2011
Published in: The Econometrics Journal (Search for Journal in Brave)
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62J05: Linear regression; mixed models
Related Items
Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data, Cointegrated continuous-time linear state-space and MCARMA models, Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data, Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series, The estimation of continuous time models with mixed frequency data, Continuous time ARMA processes: discrete time representation and likelihood evaluation, Estimation of continuous and discrete time co-integrated systems with stock and flow variables, Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies, Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
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