Random-Time Aggregation in Partial Adjustment Models
AbstractHow is econometric analysis (of partial adjustment models) affected by the fact that, although data collection is done at regular, fixed intervals of time, economic decisions are made at random intervals of time? This article addresses this question by modeling the economic decision-making process as a general point process. Under random-time aggregation, (1) inference on the speed of adjustment is biased-adjustments are a function of the intensity of the point process and the proportion of adjustment; 2) inference on the correlation with exogenous variables is generally downward biased; and (3) a nonconstant intensity of the point process gives rise to a general class of regime-dependent time series models. An empirical application to test the production-smoothing-buffer-stock model of inventory behavior illustrates, in practice, the effects of random-time aggregation.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 17 (1999)
Issue (Month): 3 (July)
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Other versions of this item:
- Oscar Jorda, 2003. "Random-Time Aggregation In Partial Ajustment Models," Working Papers 9732, University of California, Davis, Department of Economics.
- Oscar Jorda, . "Random-Time Aggregation In Partial Ajustment Models," Department of Economics 97-32, California Davis - Department of Economics.
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- Oscar Jorda & Massimiliano Marcellino, 2003.
"Time-Scale Transformations of Discrete-Time Processes,"
32, University of California, Davis, Department of Economics.
- Oscar Jordà & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
- Massimiliano Marcellino & Oscar Jorda, .
"Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data,"
164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 02, University of California, Davis, Department of Economics.
- Oscar Jorda & Massimiliano Marcellino, . "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Department of Economics 00-02, California Davis - Department of Economics.
- Rafal Raciborski, 2008. "Searching for additional sources of inflation persistence : the micro-price panel data approach," Working Paper Research 132, National Bank of Belgium.
- Ramey, Garey & Shigeru Fujita, 2006.
"The Cyclicality of Job Loss and Hiring,"
University of California at San Diego, Economics Working Paper Series
qt4nz8p839, Department of Economics, UC San Diego.
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