| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9654 |
| DP9654 Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series | |
| Eric Ghysels | |
| 发表日期 | 2013-09-15 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We find that the effects of aggregation on the size of the tests may be severe. Matching sampling schemes of all series generally reduces size, and the nominal size is obtained when all series are skip sampled in the same way. When matching all schemes is not feasible, but when some high-frequency data are available, we show how to use mixed-frequency models to improve the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration. |
| 主题 | Financial Economics |
| 关键词 | Temporal aggregation Mixed sampling frequencies Cointegration Trace test Residual-based cointegration test |
| URL | https://cepr.org/publications/dp9654 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538490 |
| 推荐引用方式 GB/T 7714 | Eric Ghysels. DP9654 Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series. 2013. |
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