Title: Frequency domain estimation of cointegration vectors with mixed frequency and mixed sample data
Authors: Marcus Chambers - University of Essex (United Kingdom) [presenting]
Abstract: The asymptotic properties of band-limited spectral regression estimators of cointegration vectors are derived when mixed frequency data are available. The finite sample performance of the estimators is assessed in a simulation exercise which also considers the properties of a Wald statistic. An optimal sub-system approach that does not require a preliminary, consistent estimator of a spectral density matrix is found to have particularly good finite sample properties.