ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY

DOI10.1017/S0266466605050395MaRDI QIDQ3377452zbMATH OpenFDO

Authors Gabriel Pons, Andreu Sanso

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466605050395

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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• Testing for cointegration with temporally aggregated and mixed-frequency time series
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Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A small sample correction for tests of hypotheses on the cointegrating vectors
• Canonical Cointegrating Regressions
• Cointegration and speed of convergence to equilibrium
• Discrete and continuous time cointegration
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimating systems of trending variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Five alternative methods of estimating long-run equilibrium relationships
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• The invertibility of sampled and aggregated ARMA models

Cited in

(12)

• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Estimation of vector error correction models with mixed-frequency data
• Temporal aggregation in first order cointegrated vector autoregressive models
• Cointegration and sampling frequency
• A generalization of the Burridge-Guerre nonparametric unit root test
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• Estimating weak periodic vector autoregressive time series
• Linear aggregation in cointegrated systems

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