On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests

DOI10.1108/S0731-905320140000033004zbMath1453.62385OpenAlexW2125703008MaRDI QIDQ5133506

Eric Ghysels, J. Isaac Miller

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-905320140000033004

zbMATH Keywords

cointegrationlinear interpolationtrace testresidual-based cointegration tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Approximation by arbitrary linear expressions (41A45)

Related Items (3)

Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data ⋮ The estimation of continuous time models with mixed frequency data ⋮ Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data

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