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Fractional integration and data frequency

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  • Luis A. Gil-Alana

    () (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Guglielmo M. Caporale

    () (Brunel University, London, England)

Abstract

This paper examines the robustness of fractional integration estimates to different data frequencies. We show by means of Monte Carlo experiments that if the number of differences is an integer value (e.g., 0 or 1) there is no distortion when data are collected at wider intervals; however, if it is a fractional value, the distortion increases as the number of periods between the observations increases, which results in lower orders of integration than those of the true DGP. An empirical application using the S&P500 index is also carried out.

Suggested Citation

  • Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Fractional integration and data frequency," Faculty Working Papers 10/08, School of Economics and Business Administration, University of Navarra.
  • Handle: RePEc:una:unccee:wp1008
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    File URL: http://www.unav.edu/documents/10174/6546776/1227197518_WP_10_08_Alana_Caporale.pdf
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    Cited by:

    1. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.

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