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Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data

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  • Marcus J. Chambers

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.

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  • Marcus J. Chambers, 2019. "Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 887-913, November.
    • Handle: RePEc:bla:jtsera:v:40:y:2019:i:6:p:887-913
    DOI: 10.1111/jtsa.12461
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    1. Chambers, Marcus J., 2020. "Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data," Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.

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