THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION

DOI10.1017/S0266466603191037zbMath1031.62070OpenAlexW2169456758MaRDI QIDQ4449529

Marcus J. Chambers

Publication date: 11 February 2004

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

Full work available at URL: https://doi.org/10.1017/s0266466603191037

zbMATH Keywords

invariance principletemporal aggregationstock variablesdiscrete time representationsrecord asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

Frequency domain estimation of temporally aggregated Gaussian cointegrated systems ⋮ Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA ⋮ REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data ⋮ On model selection criteria for climate change impact studies ⋮ Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data ⋮ Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data ⋮ Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies ⋮ Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• Temporal Aggregation of Garch Processes
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Multiple Time Series Regression with Integrated Processes
• TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
• 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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