Hostname: page-component-848d4c4894-x5gtn Total loading time: 0 Render date: 2024-06-02T09:49:57.004Z Has data issue: false hasContentIssue false
  • English
  • Français

THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION

Published online by Cambridge University Press:  08 January 2003

Marcus J. Chambers
Marcus J. Chambers
Affiliation:
University of Essex
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper examines the effects of temporal aggregation on the asymptotic variances of estimators in cointegrated systems. Two important findings are obtained. First, estimators based on flow data alone are more efficient than when the data are all stocks or a mixture of stocks and flows. Second, estimators based on flow data are as efficient as when the data are recorded continuously. A method of improving efficiency with stock variables is also proposed, and an empirical illustration of the method is provided in the context of long-run money demand regressions.I thank Roy Bailey, Rex Bergstrom, Roderick McCrorie, a co-editor, and two anonymous referees for helpful comments. I also thank Katsumi Shimotsu for help with some data issues. None of these individuals are implicated, however, in any possible shortcomings of this paper. The financial support provided by the ESRC under grant R000221818 is gratefully acknowledged.

Type
Research Article
Information
Econometric Theory , Volume 19 , Issue 1 , February 2003 , pp. 49 - 77
Copyright
© 2003 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Ahn, S.K. & G.C. Reinsel (1990) Estimation for partially nonstationary multivariate autoregressive models. Journal of the American Statistical Association 85, 813–823.CrossRefGoogle Scholar
Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817–858.CrossRefGoogle Scholar
Bergstrom, A.R. (1984) Continuous time stochastic models and issues of aggregation over time. In Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, vol. 2, pp. 1145–1212. Amsterdam: North-Holland.
Bergstrom, A.R. (1990) Continuous Time Econometric Modelling. Oxford: Oxford University Press.
Chambers, M.J. (1998) Long memory and aggregation in macroeconomic time series. International Economic Review 39, 1053–1072.CrossRefGoogle Scholar
Chambers, M.J. (2000) Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems. Manuscript, University of Essex.
Chambers, M.J. (2001) Temporal aggregation and the finite sample performance of spectral regression estimators in cointegrated systems: A simulation study. Economic Theory 17, 591–607.Google Scholar
Davidson, J.E.H. (1994) Stochastic Limit Theory. Oxford: Oxford University Press.
Drost, F.C. and T.E. Nijman (1993) Temporal aggregation of GARCH processes. Econometrica 61, 909–927.Google Scholar
Granger, C.W.J. & P.L. Siklos. (1995) Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration: Theory and evidence. Journal of Econometrics 66, 357–369.Google Scholar
Hannan, E.J. (1970) Multiple Time Series. New York: Wiley.
Harvey, A.C. & J.H. Stock (1985) The estimation of higher-order continuous time autoregressive models. Econometric Theory 1, 97–118.Google Scholar
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551–1580.Google Scholar
Phillips, P.C.B. (1989) Partially identified econometric models. Econometric Theory 5, 181–240.Google Scholar
Phillips, P.C.B. (1991a) Error correction and long run equilibrium in continuous time. Econometrica 59, 967–980.Google Scholar
Phillips, P.C.B. (1991b) Optimal inference in cointegrated systems. Econometrica 59, 283–306.Google Scholar
Phillips, P.C.B. & S.N. Durlauf (1986) Multiple time series regression with integrated processes. Review of Economic Studies 53, 473–495.Google Scholar
Phillips, P.C.B. & B.E. Hansen (1990) Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99–125.Google Scholar
Robinson, P.M. (1993) Continuous-time models in econometrics: Closed and open systems, stocks and flows. In P.C.B. Phillips (ed.), Models, Methods, and Applications of Econometrics: Essays in Honour of A.R. Bergstrom, pp. 71–90. Oxford: Blackwell.
Saikkonen, P. (1991) Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1–21.Google Scholar
Weiss, A.A. (1984) Systematic sampling and temporal aggregation in time series models. Journal of Econometrics 26, 271–281.Google Scholar
White, H. (1984) Asymptotic Theory for Econometricians. New York: Academic Press.