Advanced Search
MyIDEAS: Login

On the Choice of the Unit Period in Time Series Models

Contents:

Author Info

  • Peter Fuleky

    ()
    (UHERO, and Department of Economics, University of Hawaii at Manoa)

Abstract

When estimating the parameters of a process, researchers can choose the reference unit of time (unit period) for their study. Frequently, they set the unit period equal to the observation interval. However, I show that decoupling the unit period from the observation interval facilitates the comparison of parameter estimates across studies with different data sampling frequencies. If the unit period is standardized (for example annualized) across these studies, then the parameters will represent the same attributes of the underlying process, and their interpretation will be independent of the sampling frequency.

Download Info

If 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.
File URL: http://www.uhero.hawaii.edu/RePEc/hae/wpaper/WP_2011-4.pdf
Our checks indicate that this address may not be valid because: 500 Internal Server Error. If this is indeed the case, please notify (Ben Trevino)
File Function: First version, 2011
Download Restriction: no

Bibliographic Info

Paper provided by University of Hawaii Economic Research Organization, University of Hawaii at Manoa in its series Working Papers with number 2011-4.

as in new window
Length: 9 pages
Date of creation: Aug 2011
Date of revision:
Handle: RePEc:hae:wpaper:2011-4

Contact details of provider:
Postal: 2424 Maile Way, Social Sciences Building 542, Honolulu, Hawaii 96822
Fax: (808) 956-2889
Web page: http://www.uhero.hawaii.edu
More information through EDIRC

Related research

Keywords: Unit Period; Sampling Frequency; Bias; Time Series.;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
  2. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
  3. Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
  4. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(02), pages 231-247, August.
  5. Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Millimet, Daniel L. & McDonough, Ian K., 2013. "Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development," IZA Discussion Papers 7359, Institute for the Study of Labor (IZA).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hae:wpaper:2011-4. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ben Trevino).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.