Logo
Munich Personal RePEc Archive

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.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_102854.pdf

Download (535kB) | Preview

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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.