THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION

DOI10.1017/S0266466603191037MaRDI QIDQ4449529zbMATH OpenOpenAlexFDO

Authors Marcus J. Chambers

Publication date 11 February 2004

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466603191037

zbMATH Keywords

invariance principletemporal aggregationstock variablesdiscrete time representationsrecord asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• Estimation of fractional integration under temporal aggregation
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• A generalization of the Burridge-Guerre nonparametric unit root test
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

Cites work

• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Multiple Time Series Regression with Integrated Processes
• Optimal Inference in Cointegrated Systems
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• Temporal Aggregation of Garch Processes

Cited in

(16)

• 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
• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• On model selection criteria for climate change impact studies
• Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• Estimating the duration of dynamic effects with temporally aggregated observations
• Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
• A generalization of the Burridge-Guerre nonparametric unit root test
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• The long-run determinants of fertility: one century of demographic change 1900--1999
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies

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