On cointegration for processes integrated at different frequencies
نویسندگان
چکیده
This article explores the possibility of cointegration existing between processes integrated at different frequencies. Using demodulator operator, we show that such can exist and explore its form using both complex‐ real‐valued representations. A straightforward approach to test for presence frequencies is proposed, with a Monte Carlo study an application showing testing works well.
منابع مشابه
Inference on the Cointegration Rank in Fractionally Integrated Processes ∗
For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is easily understood and implemented as a slight modification of the Dickey-Fuller test, although our score...
متن کاملAlternative Bootstrap Procedures for Testing Cointegration in Fractionally Integrated Processes
This paper considers alternative methods of testing cointegration in fractionally integrated processes, using the bootstrap. The special feature of the fractional case is the dependence of the asymptotic null distributions of conventional statistics on the fractional integration parameter. Such tests are said to be asymptotically non-pivotal, and conventional asymptotic tests are therefore not ...
متن کاملCointegration for Seasonal Time Series Processes
This paper examines types of cointegration for bivariate seasonal time series, namely seasonal cointegration, periodic cointegration and nonperiodic cointegration. The admissable form(s) for any cointegration is shown to depend crucially on the univariate unit root properties of the series. When both processes are (conventionally) integrated, only nonperiodic cointegration is possible. Periodic...
متن کاملCerebellar modules operate at different frequencies
Due to the uniform cyto-architecture of the cerebellar cortex, its overall physiological characteristics have traditionally been considered to be homogeneous. In this study, we show in awake mice at rest that spiking activity of Purkinje cells, the sole output cells of the cerebellar cortex, differs between cerebellar modules and correlates with their expression of the glycolytic enzyme aldolas...
متن کاملImplementation of the integrated management dashboard for learning processes based on ISO 29990
The current research is trying to identify the effective modules (system modules) that form the integrated e-learning dashboard for educational processes and learning opportunities based on ISO 29990 in the municipality of Tehran. The educational process management system, which is currently providing classroom training services, is able to improve the situation by incorporating integrated mana...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2021
ISSN: ['1467-9892', '0143-9782']
DOI: https://doi.org/10.1111/jtsa.12620