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Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data

Chambers, Marcus J (2019) 'Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data.' Journal of Time Series Analysis, 40 (6). 887 - 913. ISSN 0143-9782

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Abstract

Recent work by the author on mixed frequency data analysis has focused on the estimation of cointegrated systems in continuous time based on a fully specified dynamic system of equations, while the estimation of cointegrating vectors in a discrete time system has been approached using a semiparametric frequency domain estimator. We extend the latter approach to cover the continuous time case, establishing the asymptotic properties of the frequency domain estimator and explore, in a simulation study, the effects of misspecifying the continuous time dynamic model in discrete time compared to treating the dynamics non‐parametrically. An empirical illustration is also provided.

Item Type: Article
Uncontrolled Keywords: Mixed frequency data, continuous time, frequency domain
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 03 Apr 2019 11:38
Last Modified: 05 Feb 2020 13:15
URI: http://repository.essex.ac.uk/id/eprint/24395

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