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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by California Davis - Department of Economics in its series Department of Economics with number 97-32.
Date of creation:
Date of revision:
Contact details of provider:
Postal: University of California Davis - Department of Economics. One Shields Ave., California 95616-8578
Phone: (530) 752-0741
Fax: (530) 752-9382
Web page: http://www.econ.ucdavis.edu/
More information through EDIRC
Other versions of this item:
- Jorda, Oscar, 1999. "Random-Time Aggregation in Partial Adjustment Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(3), pages 382-95, July.
- Oscar Jorda, 2003. "Random-Time Aggregation In Partial Ajustment Models," Working Papers 9732, University of California, Davis, Department of Economics.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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, Elsevier, vol. 238(1), pages 208-220.
- Shigeru Fujita & Garey Ramey, 2006.
"The cyclicality of job loss and hiring,"
06-17, Federal Reserve Bank of Philadelphia.
- Ramey, Garey & Shigeru Fujita, 2006. "The Cyclicality of Job Loss and Hiring," University of California at San Diego, Economics Working Paper Series qt4nz8p839, Department of Economics, UC San Diego.
- Massimiliano Marcellino & Oscar Jorda, .
"Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data,"
164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Oscar Jorda & Massimiliano Marcellino, . "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Department of Economics, California Davis - Department of Economics 00-02, California Davis - Department of Economics.
- Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 02, University of California, Davis, Department of Economics.
- Oscar Jorda & Massimiliano Marcellino, 2003.
"Time-Scale Transformations of Discrete-Time Processes,"
32, University of California, Davis, Department of Economics.
- Oscar JordÃ & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.