Cointegrating regressions with messy regressors and an application to mixed-frequency series

Journal of Time Series Analysis

Volumn 31, Issue 4, 2010, Pages 255-277

  Isaac Miller, J ^a  

^a UNIVERSITY OF MISSOURI   (United States)

Author keywords

Canonical cointegrating regression; Cointegration; Linear interpolation; Messy data; Mixed frequency data; Near epoch dependence

Indexed keywords

EID: 77954636345     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2010.00660.x     Document Type: Article

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