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- W2951652783 abstract "Recent work by the author on mixed frequency data analysis has focused on the estimation of cointegrated systems in continuous time based on a fully specified dynamic system of equations, while the estimation of cointegrating vectors in a discrete time system has been approached using a semiparametric frequency domain estimator. We extend the latter approach to cover the continuous time case, establishing the asymptotic properties of the frequency domain estimator and explore, in a simulation study, the effects of misspecifying the continuous time dynamic model in discrete time compared to treating the dynamics non‐parametrically. An empirical illustration is also provided." @default.
- W2951652783 created "2019-06-27" @default.
- W2951652783 creator A5010397466 @default.
- W2951652783 date "2019-03-24" @default.
- W2951652783 modified "2023-10-16" @default.
- W2951652783 title "Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data" @default.
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- W2951652783 doi "https://doi.org/10.1111/jtsa.12461" @default.
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