Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series ∗

@inproceedings{Ghysels2013TestingFC,
  title={Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series ∗},
  author={Eric Ghysels and Joseph I Miller},
  year={2013}
}
We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We find that the effects of aggregation on the size of the tests may be severe. Matching sampling schemes of all series generally reduces size, and the nominal size is obtained when all series are skip sampled in the same way. When matching all schemes is not feasible, but when some high-frequency data are available, we show how to use mixed-frequency models to improve the size… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Explore Further: Topics Discussed in This Paper

References

Publications referenced by this paper.
Showing 1-10 of 34 references

Identifiability of regular and singular multivariate autoregressive models from mixed frequency data

2012 IEEE 51st IEEE Conference on Decision and Control (CDC) • 2012
View 7 Excerpts
Highly Influenced

The Asymptotic Efficiency of Cointegration Estimators under Temporal Aggregation,

M. J. Chambers
Econometric Theory • 2003
View 4 Excerpts
Highly Influenced

Temporal Aggregation and the Power of Cointegration Tests

A. A. Haug
Journal of the American Statistical Association • 2002
View 5 Excerpts
Highly Influenced

Temporal Aggregation and Structural Inference in Macroeconomics – a Comment,

J. H. Stock
Carnegie-Rochester Conference Series of Public Policy • 1987
View 4 Excerpts
Highly Influenced

Macroeconomics and the Reality of Mixed Frequency Data,

E. Ghysels
Department of Economics, • 2012
View 4 Excerpts
Highly Influenced

Finite - sample Sizes of Johansen ’ s Likelihood Ratio Tests for Cointegration

Y.-W. Cheung, K. S. Lai
Oxford Bulletin of Economics and Statistics • 1993
View 3 Excerpts
Highly Influenced

A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,

M. Osterwald-Lenum
Oxford Bulletin of Economics and Statistics • 1992
View 3 Excerpts
Highly Influenced

Cointegration analysis with mixedfrequency data,

B. Seong, S. K. Ahn, P.A
Zadorozny • 2013
View 1 Excerpt