Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data
DOI10.1111/jtsa.12469zbMath1434.62192OpenAlexW2902595283WikidataQ128007719 ScholiaQ128007719MaRDI QIDQ4973950
Publication date: 6 December 2019
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12469
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Sums of independent random variables; random walks (60G50) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)
Related Items (2)
Cites Work
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
- Cointegration and sampling frequency
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Cointegration analysis in the presence of outliers
- Asymptotic Properties of Residual Based Tests for Cointegration
- STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
- Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
- On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests
- Error Correction and Long-Run Equilibrium in Continuous Time
This page was built for publication: Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data
