On cointegration for processes integrated at different frequencies

Tomás del Barrio Castro, Ginaluca Cubada and Denise Osborn
Authors registered in the RePEc Author Service: Gianluca Cubadda

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Periodic Cointegration; Polynomial Cointegration; Demodulator Operator. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2020-08-25
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 (2)

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https://mpra.ub.uni-muenchen.de/102854/1/MPRA_paper_102854.pdf revised version (application/pdf)

Related works:
Journal Article: On cointegration for processes integrated at different frequencies (2022)
Working Paper: On Cointegration for Processes Integrated at Different Frequencies (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:102611

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