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). pp. 887-913. DOI https://doi.org/10.1111/jtsa.12461
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). pp. 887-913. DOI https://doi.org/10.1111/jtsa.12461
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). pp. 887-913. DOI https://doi.org/10.1111/jtsa.12461
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 |
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Uncontrolled Keywords: | Mixed frequency data; continuous time; frequency domain |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 03 Apr 2019 11:38 |
Last Modified: | 16 May 2024 19:45 |
URI: | http://repository.essex.ac.uk/id/eprint/24395 |
Available files
Filename: MFCCT_Final.pdf