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Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data

Chambers, MJ (2018) Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester. (Unpublished)

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Abstract

This paper proposes a model suitable for exploiting fully the information contained in mixed frequency and mixed sample data in the estimation of cointegrating vectors. The asymptotic properties of easy-to-compute spectral regression estimators of the cointegrating vectors are derived and these estimators are shown to belong to the class of optimal cointegration estimators. Furthermore, Wald statistics based on these estimators have asymptotic chi-square distributions which enable inferences to be made straightforwardly. Simulation experiments suggest that the finite sample performance of a spectral regression estimator in an augmented mixed frequency model is particularly encouraging as it is capable of dramatically reducing the root mean squared error obtained in an entirely low frequency model to the levels comparable to an infeasible high frequency model. The finite sample size and power properties of the Wald statistic are also found to be good. An empirical example, to stock price and dividend data, is provided to demonstrate the methods in practice.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: mixed frequency data, mixed sample data, cointegration, spectral regression
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 15 Jan 2018 11:15
Last Modified: 15 Jan 2018 11:15
URI: http://repository.essex.ac.uk/id/eprint/21144

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