Cointegration and Sampling Frequency
Cointegration and Sampling Frequency
复制标题
协整和采样频率
DOI：
10.1111/j.1368-423x.2010.00329.x
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Marcus J. Chambers
中科院分区：
文献类型：
--
作者：
Marcus J. Chambers
本文分析了采样频率对协整参数的谱回归估计性质的影响。在涉及数据范围和采样频率的三种情况下，推导了大样本的渐近性质，每种情况取决于跨度或频率(或两者)趋于无穷大。极限分布在每种情况下都是不同的。此外，还比较了在固定采样频率下获得的估计量的渐近效率与在连续数据记录下获得的渐近效率，结果表明，只有股票变量才有效率低下的情况。文中还给出了部分仿真结果和实证例证。
This paper analyses the effects of sampling frequency on the properties of spectral regression estimators of cointegrating parameters. Large sample asymptotic properties are derived under three scenarios concerning the span of data and sampling frequency, each scenario depending on whether span or frequency (or both) tends to infinity. The limiting distributions are shown to be different in each case. Furthermore, the asymptotic efficiency of the estimators obtained with a fixed sampling frequency is compared with that obtained with a continuous record of data, and it is shown that the only inefficiencies arise with respect to stock variables. Some simulation results and an empirical illustration are also provided.