This article explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to test for the presence of cointegration between processes integrated at different frequencies is proposed, with a Monte Carlo study and an application showing that the testing approach works well.

Barrio Castro, T., Cubadda, G., Osborn, D.r. (2021). On cointegration for processes integrated at different frequencies. JOURNAL OF TIME SERIES ANALYSIS, 43(3), 412-435 [10.1111/jtsa.12620].

On cointegration for processes integrated at different frequencies

Gianluca Cubadda;
2021-09-24

Abstract

This article explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to test for the presence of cointegration between processes integrated at different frequencies is proposed, with a Monte Carlo study and an application showing that the testing approach works well.
24-set-2021
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-S/03 - STATISTICA ECONOMICA
English
Periodic cointegration; polynomial cointegration; demodulator operator.
https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12620
Barrio Castro, T., Cubadda, G., Osborn, D.r. (2021). On cointegration for processes integrated at different frequencies. JOURNAL OF TIME SERIES ANALYSIS, 43(3), 412-435 [10.1111/jtsa.12620].
Barrio Castro, T; Cubadda, G; Osborn, Dr
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/296969
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