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On cointegration for processes integrated at different frequencies

Author

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  • Tomás del Barrio Castro
  • Gianluca Cubadda
  • Denise R. Osborn

Abstract

This article 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 Carlo study and an application showing that the testing approach works well.

Suggested Citation

  • Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022. "On cointegration for processes integrated at different frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
    • Handle: RePEc:bla:jtsera:v:43:y:2022:i:3:p:412-435
    DOI: 10.1111/jtsa.12620
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    Cited by:

    1. del Barrio Castro, Tomás, 2021. "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper 106603, University Library of Munich, Germany, revised 2021.
    2. Yushan Cheng & Yongchang Hui & Michael McAleer & Wing-Keung Wong, 2021. "Spurious Relationships for Nearly Non-Stationary Series," JRFM, MDPI, vol. 14(8), pages 1-24, August.
    3. del Barrio Castro, Tomás & Osborn, Denise R., 2023. "Periodic Integration and Seasonal Unit Roots," MPRA Paper 117935, University Library of Munich, Germany, revised 2023.

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    JEL classification:

    • 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

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