Research Repository

Cointegration and Sampling Frequency

Chambers, MJ (2001) Cointegration and Sampling Frequency. UNSPECIFIED. University of Essex, Department of Economics, Economics Discussion Papers 531.

[img]
Preview
Text
dp531.pdf

Download (348kB) | Preview

Abstract

This paper analyses the effects of sampling frequency on the properties of spectral regression estimators of cointegrating parameters. Large sample asymptotic properties are derived under three scenarios concerning the span of data and sampling frequency, each scenario depending on whether span or frequency (or both) tends to infinity. The limiting distributions are shown to be different in each case. Furthermore, the asymptotic efficiency of the estimators obtained with a fixed sampling frequency is compared with that obtained with a continuous record of data, and it is shown that the only inefficiencies arise with respect to stock variables. Some simulation results and an empirical illustration are also provided.

Item Type: Monograph (UNSPECIFIED)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 09 Jul 2012 22:05
Last Modified: 17 Aug 2017 18:11
URI: http://repository.essex.ac.uk/id/eprint/2760

Actions (login required)

View Item View Item