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A Kit of Results For Sampled and Temporally Aggregated Models

Author

Listed:
  • Luigi Ermini

Abstract

Interest in the effect of sampling and temporal aggregation on empirical results in macroeconomics and finance is growing. While the effects on the order of ARIMA representations are well known in the literature, the effects on model parameters are not, with a few exceptions. This paper presents general expressions for the effects on parameter values that can be useful for researchers in this area. Applications to IMA(1,2) processes and to the cross-correlations of two IMA(1,1) processes are illustrated.

Suggested Citation

  • Luigi Ermini, 1992. "A Kit of Results For Sampled and Temporally Aggregated Models," Working Papers 199205, University of Hawaii at Manoa, Department of Economics.
    • Handle: RePEc:hai:wpaper:199205
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    File URL: http://www.economics.hawaii.edu/research/workingpapers/88-98/WP_92-5.pdf
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    More about this item

    Keywords

    temporal aggregation;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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