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Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey

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Author Info
Andrea Silvestrini
David Veredas

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Abstract

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail, although intuitively, the technical machinery behind the results. Some empirical applications illustrate the main issues. Copyright © 2008 The Authors. Journal compilation © 2008 Blackwell Publishing Ltd.

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Article provided by Blackwell Publishing in its journal Journal of Economic Surveys.

Volume (Year): 22 (2008)
Issue (Month): 3 (07)
Pages: 458-497
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Handle: RePEc:bla:jecsur:v:22:y:2008:i:3:p:458-497

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]
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