IDEAS home Printed from https://ideas.repec.org/a/bes/jnlbes/v13y1995i4p441-51.html
   My bibliography  Save this article

Temporal Aggregation and Economic Time Series

Author

Listed:
  • Rossana, Robert J
  • Seater, John J

Abstract

The authors examine the effects of temporal aggregation on the estimated time-series properties of economic data. Theory predicts temporal aggregation loses information about the underlying data processes. The authors find those losses to be substantial. Monthly and quarterly data are governed by complex time-series processes with much low-frequency cyclical variation, whereas annual data are governed by extremely simple processes with virtually no cyclical variation. Cycles of much more than a year's duration in the monthly data disappear when the data are aggregated to annual observations. Also, the aggregated data show more long-run persistence than the underlying disaggregated data.

Suggested Citation

  • Rossana, Robert J & Seater, John J, 1995. "Temporal Aggregation and Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 441-451, October.
    • Handle: RePEc:bes:jnlbes:v:13:y:1995:i:4:p:441-51
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:13:y:1995:i:4:p:441-51. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.