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Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions

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  • Gabriel Pons Rotger

    (University of Barcelona)

Abstract

The paper derives the asymptotic distribution of the ordinary least squares estimator of cointegrating vectors with temporally aggregated time series. It is shown, that temporal aggregation reduces the bias and variance of the estimator for average sampling (temporal aggregation of flow series) and does not affect the limiting distribution for systematic sampling (temporal aggregation of stock series). A Monte Carlo experiment shows the consistency of the finite sample results with the asymptotic theory.

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1317.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:1317

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  8. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
  9. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.
  10. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
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  32. repec:fth:exetec:94-05 is not listed on IDEAS
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