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The asymptotic efficiency of cointegration estimators under temporal aggregation

Chambers, MJ (2003) 'The asymptotic efficiency of cointegration estimators under temporal aggregation.' Econometric Theory, 19 (1). 49 - 77. ISSN 0266-4666

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Abstract

This paper examines the effects of temporal aggregation on the asymptotic variances of estimators in cointegrated systems. Two important findings are obtained. First, estimators based on flow data alone are more efficient than when the data are all stocks or a mixture of stocks and flows. Second, estimators based on flow data are as efficient as when the data are recorded continuously. A method of improving efficiency with stock variables is also proposed, and an empirical illustration of the method is provided in the context of long-run money demand regressions.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 05 Jul 2012 11:35
Last Modified: 17 Aug 2017 18:11
URI: http://repository.essex.ac.uk/id/eprint/2779

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