On Cointegration for Processes Integrated at Different Frequencies

Del Barrio Castro TomásCubadda GianlucaOsborn Denise
CEIS Research Paper
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.
 

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Number: 502
Keywords: Periodic Cointegration, Polynomial Cointegration, Demodulator Operator.
JEL codes: C32
Volume: 18
Issue: 8
Date: Friday 11 September 2020
Revision Date: Friday 11 September 2020