On cointegration for processes integrated at different frequencies

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Periodic Cointegration, Polynomial Cointegration, Demodulator Operator.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models

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