### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Vakgroep CentER |

Number of pages | 34 |

Volume | 2004-40 |

Publication status | Published - 2004 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 2004-40 |

### Fingerprint

### Keywords

- estimation
- aggregation
- cointegration
- general equilibrium

### Cite this

*Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems*. (CentER Discussion Paper; Vol. 2004-40). Tilburg: Vakgroep CentER.

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**Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems.** / Chambers, M.J.; McCrorie, J.R.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

AU - Chambers, M.J.

AU - McCrorie, J.R.

N1 - Pagination: 34

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

KW - estimation

KW - aggregation

KW - cointegration

KW - general equilibrium

M3 - Discussion paper

VL - 2004-40

T3 - CentER Discussion Paper

BT - Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

PB - Vakgroep CentER

CY - Tilburg

ER -