Temporal aggregation of univariate and multivariate time series models: A survey
AbstractWe present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.
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Bibliographic InfoPaper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 685.
Date of creation: Aug 2008
Date of revision:
Temporal aggregation; ARIMA; Seasonality; GARCH; Vector ARMA; Spurious causality; Multivariate GARCH;
Other versions of this item:
- Andrea Silvestrini & David Veredas, 2008. "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 458-497, 07.
- Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: a survey," ULB Institutional Repository 2013/136205, ULB -- Universite Libre de Bruxelles.
- SILVESTRINI, Andrea & VEREDAS, David, . "Temporal aggregation of univariate and multivariate time series models: A survey," CORE Discussion Papers RP -2013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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 &bull 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
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-18 (All new papers)
- NEP-ECM-2008-11-18 (Econometrics)
- NEP-ETS-2008-11-18 (Econometric Time Series)
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