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Selction of the Timing Interval in Structural Time Series Models

Author

Listed:
  • Casimiro, P.G.

Abstract

A major source of difficulty in the construction of dynamic econometric models is the specification of the timing interval of the relationship between economic variables. The econometric modelling has to use the available data, so it is common practice that when only annual data are available the model is specified annually, and when quarterly data can be used the timing interval chosen for the economic relationships is the quarter.

Suggested Citation

  • Casimiro, P.G., 1997. "Selction of the Timing Interval in Structural Time Series Models," ASSET - Instituto De Economia Publica 165, ASSET (Association of Southern European Economic Theorists).
    • Handle: RePEc:fth:inecpu:165
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    More about this item

    Keywords

    ECONOMETRICS ; DYNAMIC ANALYSIS;

    JEL classification:

    • 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
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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