We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

In this paper we present new estimates of the effect of households� financial and real wealth on consumption. The analysis makes reference to eleven OECD countries and takes into account quarterly data from 1997 to 2008. Unlike most of the previous literature on European countries, we...

Universite catholique de Louvain Faculte des sciences economiques, sociales et politiques Departement des sciences economiques - CORE Essays on aggregation and cointegration of econometric models Andrea...

We examine the inter-linkages between financial factors and real economic activity. We review the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models. We outline, from a policy perspective, the most recent empirical papers focusing on the...

This paper compares the performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously aggregated vector ARMA processes. An aggregate predictor is built by forecasting directly the aggregate process, as it results from contemporaneous aggregation of the data generating...