Title: On cointegration for processes integrated at different frequencies
Authors: Tomas del Barrio Castro - University of the Balearic Islands (Spain) [presenting]
Gianluca Cubadda - University of Rome Tor Vergata (Italy)
Denise Osborn - University of Manchester (United Kingdom)
Abstract: The possibility of having cointegration relationships between processes integrated at different frequencies is explored. We found that it is possible to establish this kind of cointegration and that the only possible cointegration relationships between processes integrated at different frequencies is full periodic polynomial cointegration. We explore the connection of this kind of cointegration with the demodulator operator and finally propose a simple way to test for the presence of cointegration between processes integrated at different frequencies based on the use of the demodulator operator.