Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems
Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems
复制标题
时间聚合协整系统的频域高斯估计
DOI：
10.2139/ssrn.557835
复制
发表时间：
2004
影响因子：
6.3
通讯作者：
Roderick McCrorie
中科院分区：
文献类型：
--
作者：
Marcus J. Chambers;Roderick McCrorie
本文讨论了连续时间完全参数协整系统的长期均衡系数和控制短期动态的参数的联合估计。该模型允许平稳扰动由随机微分方程组产生，变量是库存和流量的混合。我们导出了连续时间模型的三角误差修正形式的精确离散模拟。形式上建立了这种估计的相合阶和渐近抽样性质，证明了估计协整参数的数据的函数以样本量的速率收敛于混合正态分布，而估计短期运行参数的函数以样本量的平方根的速率收敛于极限正态分布。
This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short run dynamics of a fully parametric cointegrated system formulated in continuous time.The model allows the stationary disturbances to be generated by a stochastic di erential equation system and for the variables to be a mixture of stocks and flows.We derive a precise form for the exact discrete analogue of the continuous time model in triangular error correction form, which acts as the basis for frequency domain Gaussian estimation of the unknown parameters using discrete time data.We formally establish the order of consistency and the asymptotic sampling properties of such an estimator.The function of the data that estimates the cointegrating parameters is shown to converge at the rate of the sample size to a mixed normal distribution, while that estimating the short run parameters converges at the rate of the square root of the sample size to a limiting normal distribution.