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Beauty and Ugliness of Aggregation over Time: A Survey

Author

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  • Mamingi Nlandu

    (Department of Economics, The University of the West Indies, P.O.Box 64, Cave Hill Campus, BridgetownBB11000, Barbados)

Abstract

This paper delivers an up-to-date literature review dealing with aggregation over time of economic time series, e.g. the transformation of high-frequency data to low frequency data, with a focus on its benefits (the beauty) and its costs (the ugliness). While there are some benefits associated with aggregating data over time, the negative effects are numerous. Aggregation over time is shown to have implications for inferences, public policy and forecasting.

Suggested Citation

  • Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    • Handle: RePEc:lus:reveco:v:68:y:2017:i:3:p:205-227:n:3
    DOI: 10.1515/roe-2017-0027
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    More about this item

    Keywords

    aggregation over time; temporal aggregation; systematic sampling; mixed aggregation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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