Cointegration and Sampling Frequency
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 531.
Date of creation: 2001
Date of revision:
Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
Other versions of this item:
- NEP-ALL-2002-04-15 (All new papers)
- NEP-ECM-2002-04-22 (Econometrics)
- NEP-ETS-2002-04-15 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
- Perron, P., 1987.
"Test Consistency with Varying Sampling Frequency,"
Cahiers de recherche
8752, Universite de Montreal, Departement de sciences economiques.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Phillips, P.C.B., 1989.
"Partially Identified Econometric Models,"
Cambridge University Press, vol. 5(02), pages 181-240, August.
- Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(04), pages 489-500, December.
- Herzer, Dierk & Strulik, Holger & Vollmer, Sebastian, 2010.
"The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999,"
Hannover Economic Papers (HEP)
dp-456, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Dierk Herzer & Holger Strulik & Sebastian Vollmer, 2012. "The long-run determinants of fertility: one century of demographic change 1900–1999," Journal of Economic Growth, Springer, vol. 17(4), pages 357-385, December.
- 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.
- Herzer, Dierk, 2013.
"Cross-Country Heterogeneity and the Trade-Income Relationship,"
Elsevier, vol. 44(C), pages 194-211.
- Herzer, Dierk, 2009. "Cross-country heterogeneity and the trade-income relationship," Proceedings of the German Development Economics Conference, Frankfurt a.M. 2009 13, Verein für Socialpolitik, Research Committee Development Economics.
- Dierk Herzer, 2009. "Cross-country heterogeneity and the trade-income relationship," FIW Working Paper series 026, FIW.
- Dierk Herzer, 2011. "Cross-country heterogeneity and the trade-income relationship," Ibero America Institute for Econ. Research (IAI) Discussion Papers 209, Ibero-America Institute for Economic Research.
- Herzer, Dierk & Strulik, Holger, 2013. "Religiosity and income: A panel cointegration and causality analysis," Center for European, Governance and Economic Development Research Discussion Papers 168, University of Goettingen, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Essex Economics Web Manager).
If references are entirely missing, you can add them using this form.