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Persistence under temporal aggregation and differencing

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  • Hassler, Uwe

Abstract

Temporal aggregation is known to affect the persistence of time series. We study the aggregation of flow variables as well as stock data, and difference-stationarity is allowed for. Moreover, moving averages encountered when computing annual growth rates (seasonal differences) are investigated. Using a relative persistence measure (long-run variance ratio), it is clarified when persistence is increased or decreased, and by how much. Our results are exact for a finite aggregation level. They are illustrated with monthly time series. Approximate results for the growing aggregation level are provided, too.

Suggested Citation

  • Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
    • Handle: RePEc:eee:ecolet:v:124:y:2014:i:2:p:318-322
    DOI: 10.1016/j.econlet.2014.06.011
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    References listed on IDEAS

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    More about this item

    Keywords

    Cumulating; Skip sampling; Difference-stationarity; Seasonal differences;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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