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

Chambers, Marcus (2020) 'Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data.' Journal of Econometrics, 217 (1). 140 - 160. ISSN 0304-4076

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Abstract

This paper proposes a simple method for exploiting 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 spectral regression estimators considered perform well in finite samples and are at least as good as time domain fully modified estimators. The finite sample size and power properties of the spectral regression-based Wald statistic are also found to be good.

Item Type: Article
Uncontrolled Keywords: mixed frequency data, mixed sample data, cointegration, spectral regression
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 15 Nov 2019 13:56
Last Modified: 07 Jun 2020 08:15
URI: http://repository.essex.ac.uk/id/eprint/25911

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