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Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error

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Abstract

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies, or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise. Least squares estimation of the cointegrating vector is consistent. Existing prototypical variancebased estimation techniques, such as canonical cointegrating regression (CCR), are both consistent and asymptotically mixed normal. This result is robust to weakly dependent but possibly nonstationary disturbances.

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File URL: http://economics.missouri.edu/working-papers/2007/wp0722_zmiller.pdf
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Paper provided by Department of Economics, University of Missouri in its series Working Papers with number 0722.

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Length: 30 pgs.
Date of creation: 27 Nov 2007
Date of revision: 15 Apr 2009
Handle: RePEc:umc:wpaper:0722

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Keywords: cointegration; canonical cointegrating regression; near-epoch dependence; messy data; missing data; mixed-frequency data; measurement error; interpolation;

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  1. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
  2. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, September.
  3. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
  4. Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
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  9. Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001. "Nonlinear econometric models with cointegrated and deterministically trending regressors," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
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Cited by:
  1. Mishra, Vinod & Smyth, Russell, 2010. "Female labor force participation and total fertility rates in the OECD: New evidence from panel cointegration and Granger causality testing," Journal of Economics and Business, Elsevier, vol. 62(1), pages 48-64, January.

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