Beauty and Ugliness of Aggregation over Time: A Survey

Abstract This paper delivers an up-to-date literature review dealing with aggregation over time of economic time series, e.g. the transformation of high-frequency data to low frequency data, with a focus on its benefits (the beauty) and its costs (the ugliness). While there are some benefits associated with aggregating data over time, the negative effects are numerous. Aggregation over time is shown to have implications for inferences, public policy and forecasting.