On Cointegration for Processes Integrated at Different Frequencies

36 Pages Posted: 14 Sep 2020

See all articles by Tomás del Barrio Castro

Tomás del Barrio Castro

affiliation not provided to SSRN

Gianluca Cubadda

University of Rome Tor Vergata - Department of Economics and Finance

Denise R. Osborn

The University of Manchester - School of Social Sciences; University of Tasmania

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

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

Tomás Del Barrio Castro

affiliation not provided to SSRN

Gianluca Cubadda (Contact Author)

University of Rome Tor Vergata - Department of Economics and Finance ( email )

Via Columbia n.2
Roma, 00133
Italy

Denise R. Osborn

The University of Manchester - School of Social Sciences ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

University of Tasmania ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia

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