Testing for cointegration at any frequency using spectral methods

DOI10.1007/BF02589039MaRDI QIDQ3598296zbMATH OpenOpenAlexFDO

Authors Gianluca Cubadda

Publication date 3 February 2009

Published in Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02589039

zbMATH Keywords

bounds testscointegrationmultivariate frequency-domain analysisseasonal unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20)

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Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Statistical analysis of cointegration vectors
• Testing for cointegration using principal components methods
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS

Cited in

(9)

• Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
• Cointegration in high frequency data
• Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
• Low-frequency robust cointegration testing
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• scientific article; zbMATH DE number 88842 (Why is no real title available?)
• Cointegration in frequency domain
• Pre-selection in cointegration-based pairs trading

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