ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY

DOI10.1017/S0266466605050395zbMath1083.62095MaRDI QIDQ3377452

Gabriel Pons, Andreu Sanso

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (2)

Estimation of vector error correction models with mixed-frequency data ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• The invertibility of sampled and aggregated ARMA models
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Discrete and continuous time cointegration
• Five alternative methods of estimating long-run equilibrium relationships
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• A small sample correction for tests of hypotheses on the cointegrating vectors
• Cointegration and speed of convergence to equilibrium
• Canonical Cointegrating Regressions
• Estimating systems of trending variables
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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