Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence

DOI10.1016/0304-4076(94)01622-7zbMath0925.62520OpenAlexW2152494090MaRDI QIDQ1347110

Pierre L. Siklos, Clive W. J. Granger

Publication date: 8 November 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01622-7

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (12)

The use of aggregate time series for testing conditional heteroscedasticity ⋮ Aggregation of the generalized fractional processes ⋮ A note on the critical values for the maximum likelihood (seasonal) cointegration tests ⋮ Small-sample improvements in the statistical analysis of seasonally cointegrated systems ⋮ Aggregation in large dynamic panels ⋮ Estimation of fractional integration under temporal aggregation ⋮ Temporal aggregation of Markov-switching financial return models ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY ⋮ THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• An analogue model of phase-averaging procedures
• Moving average filters and unit roots
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Seasonal cointegration. The Japanese consumption function (with discussion)
• ON GENERALIZED FRACTIONAL PROCESSES
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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