Download This PaperOn Cointegration for Processes Integrated at Different Frequencies
36 Pages Posted: 14 Sep 2020
Date Written: September 11, 2020
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
JEL Classification: C32
Suggested Citation: Suggested Citation
del Barrio Castro, Tomás and Cubadda, Gianluca and Osborn, Denise R., On Cointegration for Processes Integrated at Different Frequencies (September 11, 2020). CEIS Working Paper No. 502, Available at SSRN: https://ssrn.com/abstract=3690989 or http://dx.doi.org/10.2139/ssrn.3690989
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