Journal of Time Series Analysis

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

Journal Article

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise. Least squares estimation of the cointegrating vector is consistent. Existing prototypical variance‐based estimation techniques, such as canonical cointegrating regression, are both consistent and asymptotically mixed normal. This result is robust to weakly dependent but possibly nonstationary disturbances.

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