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Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data

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  • Chambers, Marcus J.

Abstract

This paper proposes a simple method for exploiting the information contained in mixed frequency and mixed sample data in the estimation of cointegrating vectors. The asymptotic properties of easy-to-compute spectral regression estimators of the cointegrating vectors are derived and these estimators are shown to belong to the class of optimal cointegration estimators. Furthermore, Wald statistics based on these estimators have asymptotic chi-square distributions which enable inferences to be made straightforwardly. Simulation experiments suggest that the spectral regression estimators considered perform well in finite samples and are at least as good as time domain fully modified estimators. The finite sample size and power properties of the spectral regression-based Wald statistic are also found to be good.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:econom:v:217:y:2020:i:1:p:140-160
    DOI: 10.1016/j.jeconom.2019.10.010
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    1. Michael A. Thornton, 2019. "Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 951-967, November.
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    7. Chambers, Marcus J., 2016. "The estimation of continuous time models with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 390-404.
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    10. J. Isaac Miller, 2016. "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1142-1171, June.
    11. 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.
    12. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(3), pages 468-497, December.
    13. Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 93-122, Emerald Group Publishing Limited.
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    15. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
    16. Byeongchan Seong & Sung K. Ahn & Peter A. Zadrozny, 2013. "Estimation of vector error correction models with mixed-frequency data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 194-205, March.
    17. J. Isaac Miller, 2010. "Cointegrating regressions with messy regressors and an application to mixed‐frequency series," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 255-277, July.
    18. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
    19. Chambers, Marcus J., 2003. "The Asymptotic Efficiency Of Cointegration Estimators Under Temporal Aggregation," Econometric Theory, Cambridge University Press, vol. 19(1), pages 49-77, February.
    20. Ghysels, Eric, 2016. "Macroeconomics and the reality of mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 294-314.
    21. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
    22. J. Isaac Miller & Xi Wang, 2016. "Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 810-824, November.
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    Cited by:

    1. Philipp Gersing & Leopold Soegner & Manfred Deistler, 2022. "Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR," Papers 2204.05952, arXiv.org, revised Jul 2023.
    2. Cleiton Guollo Taufemback, 2023. "Asymptotic Behavior of Temporal Aggregation in Mixed‐Frequency Datasets," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 894-909, August.

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    More about this item

    Keywords

    Mixed frequency data; Mixed sample data; Cointegration; Spectral regression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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