Temporal aggregation of univariate linear time series models

In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although intuitively, the technical machinery behind the results. An empirical application with Belgian public deficit data illustrates the main issues.

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Year of publication:	2005-09
Authors:	SILVESTRINI, Andrea ; VEREDAS, David
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	temporal aggregation \| ARIMA \| GARCH \| seasonality

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2005059
Classification:	C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C43 - Index Numbers and Aggregation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005065424