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Temporal aggregation and the finite sample performance of spectral regression estimators in cointegrated systems: A simulation study

Chambers, MJ (2001) 'Temporal aggregation and the finite sample performance of spectral regression estimators in cointegrated systems: A simulation study.' Econometric Theory, 17 (3). 591 - 607. ISSN 0266-4666

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Abstract

The finite sample performance of spectral regression estimators in temporally aggregated cointegrated systems is investigated via the use of simulation experiments. The simulations address issues such as "optimal" choice of bandwidth parameter and effects of smoothing kernel in constructing estimates of spectral densities that are used by the spectral regression estimators; the effects of stock and flow variables and mixtures of the two, including the relative finite sample efficiency of the estimators under different combinations of stock and flow variables; and the effects of conducting iterations of the spectral estimators. A striking feature of the results is the crucial role that correct choice of bandwidth and kernel function plays in producing accurate estimates of the unknown parameters. Furthermore, estimates obtained using flow data alone are found to be more efficient, in the sense of having smaller variance, than those obtained using stock data alone or mixtures of stocks and flows, thereby confirming in finite samples their relative asymptotic properties.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Jul 2012 22:20
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2776

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