Cointegrating regressions with messy regressors and an application to mixed-frequency series

DOI10.1111/J.1467-9892.2010.00660.XzbMATH Open1416.62512OpenAlexW2106951351MaRDI QIDQ3103181FDOQ3103181

Authors: J. Isaac Miller 

Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00660.x

Recommendations

• Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data

zbMATH Keywords

near-epoch dependencecointegrationlinear interpolationmixed-frequency datacanonical cointegrating regressionmessy data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Cites Work

• Stochastic Limit Theory
• GARCH (1,1) processes are near epoch dependent
• A maximal inequality and dependent strong laws
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Properties of Residual Based Tests for Cointegration
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Fully Modified Least Squares and Vector Autoregression
• Canonical Cointegrating Regressions
• Extracting a common stochastic trend: theory with some applications
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• The Interpolation of Time Series by Related Series
• Best Linear Unbiased Estimation of Missing Observations in an Economic Time Series
• Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results

Cited In (4)

• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• The estimation of continuous time models with mixed frequency data
• 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

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