THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
DOI10.1017/S0266466603191037zbMATH Open1031.62070OpenAlexW2169456758MaRDI QIDQ4449529FDOQ4449529
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
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Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Multiple Time Series Regression with Integrated Processes
- Temporal Aggregation of Garch Processes
- Optimal Inference in Cointegrated Systems
- 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
- TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
- Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
Cited In (16)
- 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
- 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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