On the Choice of the Unit Period in Time Series Models
AbstractWhen 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.
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Bibliographic InfoPaper provided by University of Hawaii Economic Research Organization, University of Hawaii at Manoa in its series Working Papers with number 2011-4.
Length: 9 pages
Date of creation: Aug 2011
Date of revision:
Unit Period; Sampling Frequency; Bias; Time Series.;
Other versions of this item:
- Peter Fuleky, 2012. "On the choice of the unit period in time series models," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1179-1182, August.
- Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 201111, University of Hawaii at Manoa, Department of Economics.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-16 (All new papers)
- NEP-ECM-2011-09-16 (Econometrics)
- NEP-ETS-2011-09-16 (Econometric Time Series)
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