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Cointegration in a MIDAS Regression

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  • H. Peter Boswijk
  • Philip Hans Franses

Abstract

Mixed data sampling (MIDAS) cointegration models are used to analyse variables observed at different frequencies. In this paper, we start from an assumed autoregressive distributed lag (ADL) model for high‐frequency observations, and derive the resulting representation when the dependent variable is only observed at a lower frequency. We propose a test for cointegration, exploiting knowledge of the implied moving average process in the MIDAS model, and derive its asymptotic null distribution. We study the size and power of the test using Monte Carlo simulations, and illustrate our method using the US annual durables consumption as a function of quarterly GDP.

Suggested Citation

  • H. Peter Boswijk & Philip Hans Franses, 2026. "Cointegration in a MIDAS Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 88(4), pages 712-725, August.
    • Handle: RePEc:bla:obuest:v:88:y:2026:i:4:p:712-725
    DOI: 10.1111/obes.70075
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