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Temporal aggregation in first order cointegrated vector autoregressive

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Author Info

  • la Cour, Lisbeth Funding

    (Department of Economics, Copenhagen Business School)

  • Milhøj, Anders

    (Department of Economics, Copenhagen Business School)

Abstract

We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline.

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File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7605
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Bibliographic Info

Paper provided by Copenhagen Business School, Department of Economics in its series Working Papers with number 14-2006.

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Length: 36 pages
Date of creation: 01 Jan 2006
Date of revision:
Handle: RePEc:hhs:cbsnow:2006_014

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Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark
Phone: 38 15 25 75
Fax: 38 15 26 65
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Web page: http://www.cbs.dk/departments/econ/
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