Time aggregation and skip sampling in cointegration tests.

DOI10.1007/BF02926585MaRDI QIDQ1815626zbMATH OpenFDO

Authors Wanhong Hu

Publication date 1996

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02926585

Mathematics Subject Classification ID

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

Cites work

• Statistical analysis of cointegration vectors
• Testing the random walk hypothesis: power versus frequency of observation

Cited in

(2)

• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Testing for cointegration with temporally aggregated and mixed-frequency time series

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