TY  - CHAP
AB  - Abstract We analyze the sizes of standard cointegration tests applied to data subject to linear interpolation, discovering evidence of substantial size distortions induced by the interpolation. We propose modifications to these tests to effectively eliminate size distortions from such tests conducted on data interpolated from end-of-period sampled low-frequency series. Our results generally do not support linear interpolation when alternatives such as aggregation or mixed-frequency-modified tests are possible.
VL  - 33
SN  - 978-1-78441-183-1/0731-9053
DO  - 10.1108/S0731-905320140000033004
UR  - https://doi.org/10.1108/S0731-905320140000033004
AU  - Ghysels Eric
AU  - Isaac Miller J.
PY  - 2014
Y1  - 2014/01/01
TI  - On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests
T2  - Essays in Honor of Peter C. B. Phillips
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 93
EP  - 122
Y2  - 2024/04/23
ER  -