Fractional integration and data frequency
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WPnull/08 Fractional integration and data frequency
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Abstract
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&P500 index is also carried out.
Number of Pages:24
Creation Date:2008-11-20
Number:null/08
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