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Cointegration and Sampling Frequency

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  • Marcus J. Chambers

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Abstract

This paper analyses the effects of sampling frequency on the properties of spectral regression estimators of cointegrating parameters. Large sample asymptotic properties are derived under three scenarios concerning the span of data and sampling frequency, each scenario depending on whether span or frequency (or both) tends to infinity. The limiting distributions are shown to be different in each case. Furthermore, the asymptotic efficiency of the estimators obtained with a fixed sampling frequency is compared with that obtained with a continuous record of data, and it is shown that the only inefficiencies arise with respect to stock variables. Some simulation results and an empirical illustration are also provided.

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp531.pdf
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Bibliographic Info

Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 531.

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Date of creation: 2001
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Handle: RePEc:esx:essedp:531

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Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
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  1. Lahiri, Kajal & Mamingi, Nlandu, 1995. "Testing for cointegration: Power versus frequency of observation -- another view," Economics Letters, Elsevier, vol. 49(2), pages 121-124, August.
  2. McCrorie, J. Roderick, 2000. "Deriving The Exact Discrete Analog Of A Continuous Time System," Econometric Theory, Cambridge University Press, vol. 16(06), pages 998-1015, December.
  3. Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
  4. 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.
  5. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  6. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
  7. Otero, Jesus & Smith, Jeremy, 2000. "Testing for cointegration: power versus frequency of observation -- further Monte Carlo results," Economics Letters, Elsevier, vol. 67(1), pages 5-9, April.
  8. Chambers, Marcus J., 2001. "Temporal Aggregation And The Finite Sample Performance Of Spectral Regression Estimators In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 17(03), pages 591-607, June.
  9. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(04), pages 489-500, December.
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Cited by:
  1. Dierk Herzery & Holger Strulik & Sebastian Vollmer, 2010. "The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999," PGDA Working Papers 6310, Program on the Global Demography of Aging.

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