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.
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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)
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