Cointegration and sampling frequency
DOI10.1111/J.1368-423X.2010.00329.XzbMATH Open1218.62089OpenAlexW1536641145MaRDI QIDQ3018501FDOQ3018501
Authors: Marcus J. Chambers 
Publication date: 27 July 2011
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00329.x
Recommendations
- Cointegrating polynomial regressions: fully modified OLS estimation and inference
- Low-pass filtered least squares estimators of cointegrating vectors
- ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Fully Modified Least Squares and Vector Autoregression
Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Optimal Inference in Cointegrated Systems
- Towards a unified asymptotic theory for autoregression
- Time Series Regression with a Unit Root
- Error Correction and Long-Run Equilibrium in Continuous Time
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Testing for unit roots with flow data and varying sampling frequency
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Discrete time representation of stationary and non-stationary continuous time systems
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Title not available (Why is that?)
- Testing for cointegration: Power versus frequency of observation--another view
- Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Discrete and continuous time cointegration
- Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
- Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
Cited In (14)
- 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
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- The estimation of continuous time models with mixed frequency data
- 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
- Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
This page was built for publication: Cointegration and sampling frequency
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3018501)
