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On Cointegration for Processes Integrated at Different Frequencies

Tomás del Barrio Castro, Gianluca Cubadda and Denise Osborn

No 502, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper explores the possibility of cointegration existing between processes integrated at different 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 different 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)
Pages: 36 pages
Date: 2020-09-11, Revised 2020-09-11
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Citations: View citations in EconPapers (2)

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Journal Article: On cointegration for processes integrated at different frequencies (2022) Downloads
Working Paper: On cointegration for processes integrated at different frequencies (2020) Downloads
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