Some Temporal Aggregation Issues in Empirical Analysis

We derive the generating mechanism of a temporally aggregated process when the original one belongs to the ARMA class. We 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 illustrates the main issues

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Year of publication:	2014
Authors:	Marcellino, Massimiliano
Publisher:	[S.l.] : SSRN
Subject:	Aggregation \| Theorie \| Theory
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1996 erstellt Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; C43 - Index Numbers and Aggregation ; C5 - Econometric Modeling
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014074740