It isn’t clear to me how to calculate cointegration with irregular time series (ideally using the Johansen test with VECM). My initial thought would be to regularize the series and interpolate missing values, although that may bias the estimation.
Is there any literature on this subject?
You could start with the following references:
- Comte (1999) “Discrete and continuous time cointegration”, Journal of Econometrics.
- Ferstl (2009) “Cointegration in discrete and continuous time”. Thesis.
Citations of Comte may also be useful.