On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests
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- Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 93-122, Emerald Group Publishing Limited.
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Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.
- Chambers, MJ, 2018. "Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data," Economics Discussion Papers 21144, University of Essex, Department of Economics.
- Doré, Natalia I. & Teixeira, Aurora A.C., 2023. "The role of human capital, structural change, and institutional quality on Brazil's economic growth over the last two hundred years (1822–2019)," Structural Change and Economic Dynamics, Elsevier, vol. 66(C), pages 1-12.
- Aurora A. C. Teixeira & Ana Sofia Loureiro, 2019. "FDI, income inequality and poverty: a time series analysis of Portugal, 1973–2016," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 18(3), pages 203-249, October.
- Chang, Yoosoon & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y. & Park, Sungkeun, 2014. "Time-varying Long-run Income and Output Elasticities of Electricity Demand with an Application to Korea," Energy Economics, Elsevier, vol. 46(C), pages 334-347.
- Chambers, Marcus J., 2016.
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- Chambers, MJ, 2016. "The Estimation of Continuous Time Models with Mixed Frequency Data," Economics Discussion Papers 15988, University of Essex, Department of Economics.
- J. Isaac Miller, 2019.
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- J. Isaac Miller, 2018. "Testing Cointegrating Relationships Using Irregular and Non-Contemporaneous Series with an Application to Paleoclimate Data," Working Papers 1809, Department of Economics, University of Missouri.
- Yoosoon Chang & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park, 2014. "Time-varying Long-run Income and Output Elasticities of Electricity Demand," Working Papers 1409, Department of Economics, University of Missouri.
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More about this item
Keywords
linear interpolation; cointegration; trace test; residual-based cointegration tests;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-06-14 (Econometrics)
- NEP-ETS-2014-06-14 (Econometric Time Series)
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