Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data

Marcus Chambers

Journal of Time Series Analysis, 2019, vol. 40, issue 6, 887-913

Abstract: Recent work by the author on mixed frequency data analysis has focused on the estimation of cointegrated systems in continuous time based on a fully specified dynamic system of equations, while the estimation of cointegrating vectors in a discrete time system has been approached using a semiparametric frequency domain estimator. We extend the latter approach to cover the continuous time case, establishing the asymptotic properties of the frequency domain estimator and explore, in a simulation study, the effects of misspecifying the continuous time dynamic model in discrete time compared to treating the dynamics non‐parametrically. An empirical illustration is also provided.

Date: 2019
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