| Gabriel Pons Rotger, University of Barcelona |
| Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions |
| Session: C-1-17 Friday 11 August 2000 by Rotger, Gabriel Pons |
| The paper derives the asymptotic distribution of the ordinary least squares estimator of cointegrating vectors with temporally aggregated time series. It is shown, that temporal aggregation reduces the bias and variance of the estimator for average sampling (temporal aggregation of flow series) and does not affect the limiting distribution for systematic sampling (temporal aggregation of stock series). A Monte Carlo experiment shows the consistency of the finite sample results with the asymptotic theory. |
| Submitted paper full-text in .pdf |