On cointegration for processes integrated at different frequencies

DOI10.1111/JTSA.12620MaRDI QIDQ5095290zbMATH OpenOpenAlexFDO

Authors Tomás del Barrio Castro, Gianluca Cubadda, Denise R. Osborn

Publication date 8 August 2022

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12620

zbMATH Keywords

demodulator operatorperiodic cointegrationpolynomial cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx) Economic time series analysis (91B84)

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Cited in

(3)

• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
• Model selection for unit-root time series with many predictors

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