Some Consequences of Temporal Aggregation in Empirical Analysis
Journal of Business & Economic Statistics, 1999, 17, 1, 129-136
MARCELLINO, Massimiliano, Some Consequences of Temporal Aggregation in Empirical Analysis, Journal of Business & Economic Statistics, 1999, 17, 1, 129-136 - https://hdl.handle.net/1814/16779
Retrieved from Cadmus, EUI Research Repository
I derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues.
Cadmus permanent link: https://hdl.handle.net/1814/16779
Full-text via DOI: 10.2307/1392244
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