Fractional integration and data frequency

被引:9
作者
Caporale, Guglielmo Maria [1 ]
Gil-Alana, Luis A. [2 ]
机构
[1] Brunel Univ, Ctr Empir Finance, London, England
[2] Univ Navarra, E-31080 Pamplona, Spain
关键词
fractional integration; data frequency; stock market; MACROECONOMIC TIME-SERIES; LOCAL WHITTLE ESTIMATION; LONG-RANGE DEPENDENCE; UNIT-ROOT; NONSTATIONARY HYPOTHESES; RANDOM-WALKS; MEMORY; REGRESSION; MODELS; TRENDS;
D O I
10.1080/00949650802527487
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
This paper examines the robustness of fractional integration estimates to different data frequencies. We show by means of Monte Carlo experiments that if the number of differences is an integer value (e.g. 0 or 1), there is no distortion when data are collected at wider intervals; however, if it is a fractional value, the distortion increases as the number of periods between the observations increases, which results in lower orders of integration than those of the true DGP. An empirical application using the S&P 500 index is also carried out.
引用
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页码:121 / 132
页数:12
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