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Frequency domain estimation of temporally aggregated Gaussian cointegrated systems

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  • Chambers, Marcus J.
  • Roderick McCrorie, J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 136 (2007)
Issue (Month): 1 (January)
Pages: 1-29

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Handle: RePEc:eee:econom:v:136:y:2007:i:1:p:1-29

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Pesaran,H.M. & Shin,Y., 1995. "Long-Run Structural Modelling," Cambridge Working Papers in Economics 9419, Faculty of Economics, University of Cambridge.
  2. Peter C.B. Phillips, 1988. "Error Correction and Long Run Equilibrium in Continuous Time," Cowles Foundation Discussion Papers 882R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  3. Bergstrom, A.R., 1997. "Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 13(04), pages 467-505, August.
  4. Chambers, Marcus J., 1998. "The estimation of systems of joint differential-difference equations," Journal of Econometrics, Elsevier, Elsevier, vol. 85(1), pages 1-31, July.
  5. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 26(3), pages 271-281, December.
  6. Corradi, Valentina, 1997. "Comovements Between Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 13(05), pages 646-666, October.
  7. Saikkonen, Pentti, 2001. "Statistical Inference In Cointegrated Vector Autoregressive Models With Nonlinear Time Trends In Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 17(02), pages 327-356, April.
  8. Saikkonen, Pentti, 1995. "Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 11(05), pages 888-911, October.
  9. Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002. "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, Econometric Society, vol. 70(3), pages 1067-1109, May.
  10. Phillips, P. C. B., 1973. "The problem of identification in finite parameter continuous time models," Journal of Econometrics, Elsevier, Elsevier, vol. 1(4), pages 351-362, December.
  11. Stock], James H., 1987. "Temporal aggregation and structural inference in macroeconomics a comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 26(1), pages 131-139, January.
  12. Hansen, Lars Peter & Sargent, Thomas J, 1983. "The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities," Econometrica, Econometric Society, Econometric Society, vol. 51(2), pages 377-87, March.
  13. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  14. D. Marinucci & Peter M. Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
  15. Lawrence J. Christiano & Martin Eichenbaum, 1987. "Temporal aggregation and structural inference in macroeconomics," Working Papers 306, Federal Reserve Bank of Minneapolis.
  16. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  17. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  18. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  19. Chambers, Marcus J., 2003. "The Asymptotic Efficiency Of Cointegration Estimators Under Temporal Aggregation," Econometric Theory, Cambridge University Press, vol. 19(01), pages 49-77, February.
  20. D Marinucci & Peter Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 2015, London School of Economics and Political Science, LSE Library.
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Cited by:
  1. Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.

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