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Temporal aggregation of univariate linear time series models Author info | Abstract | Publisher info | Download info | Related research | Statistics SILVESTRINI, Andrea
VEREDAS, David
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In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although intuitively, the technical machinery behind the results. An empirical application with Belgian public deficit data illustrates the main issues.
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number
2005059.
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Date of creation: 01 Sep 2005Date of revision:
Handle: RePEc:cor:louvco:2005059Contact details of provider: Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium) Phone: 32(10)474321 Fax: +32 10474301 Email: Web page: http://www.uclouvain.be/core More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Alain GILLIS).
Keywords: temporal aggregation ; ARIMA ; GARCH ; seasonality ; Other versions of this item:
Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
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