Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Eric Ghysels and J. Miller

No 9654, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: Temporal aggregation; Mixed sampling frequencies; Cointegration; Trace test; Residual-based cointegration test (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2013-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series (2015)
Working Paper: Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series (2014)
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