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On cointegration for processes integrated at different frequencies

del Barrio Castro, Tomás and Cubada, Ginaluca and Osborn, Denise R. (2020): On cointegration for processes integrated at different frequencies.

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Abstract

This paper explores the possibility of cointegration existing between processes integrated at di¤erent frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to test for the presence of cointegration between processes integrated at di¤erent frequencies is proposed, with a Monte Carol study and an application showing that the testing approach works well.

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