Random-Time Aggregation In Partial Ajustment Models
AbstractHow is econometric analysis (of partial adjustment models) affected by the fact that, while data collection is done at regular, fixed intervals of time, economic decisions are made at random intervals of time? This paper addresses this question by modelling 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 non-constant 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 InfoPaper provided by University of California, Davis, Department of Economics in its series Working Papers with number 9732.
Date of creation: 09 Jan 2003
Date of revision:
Other versions of this item:
- Jorda, Oscar, 1999. "Random-Time Aggregation in Partial Adjustment Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 382-95, July.
- Oscar Jorda, . "Random-Time Aggregation In Partial Ajustment Models," Department of Economics 97-32, California Davis - Department of Economics.
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- Oscar Jordà & Massimiliano Marcellino, 2004.
"Time-scale transformations of discrete time processes,"
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Wiley Blackwell, vol. 25(6), pages 873-894, November.
- Oscar Jorda & Massimiliano Marcellino, 2003. "Time-Scale Transformations of Discrete-Time Processes," Working Papers 32, University of California, Davis, Department of Economics.
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- Massimiliano Marcellino & Oscar Jorda, . "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Lin, Winston T. & Kao, Ta-Wei (Daniel), 2014. "The partial adjustment valuation approach with dynamic and variable speeds of adjustment to evaluating and measuring the business value of information technology," European Journal of Operational Research, Elsevier, vol. 238(1), pages 208-220.
- Ramey, Garey & Shigeru Fujita, 2006.
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