IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/70.html
   My bibliography  Save this paper

Known Moving-Average Transformations and Autoregressive Processes

Author

Listed:
  • J.C.R. Rowley

    (Queen's University)

  • D.A. Wilton

    (Queen's University)

Abstract

The errors in the linear models which are used so widely by economists may be generated by mixed moving-average autoregressive processes. If errors on an aggregative equation are generated by a mixed moving-average autoregressive process and the weights of the moving-average component of this process are known, then the least-squares procedure can yield consistent estimators of both signal and autoregressive parameters if two adjustments are made to the equation. The autoregressive transformation is combined with pre-multiplication by a Moore-Penrose inverse based on the known weights of the moving-average component.

Suggested Citation

  • J.C.R. Rowley & D.A. Wilton, 1972. "Known Moving-Average Transformations and Autoregressive Processes," Working Paper 70, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:70
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_70.pdf
    File Function: First version 1972
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. J.C.R. Rowley & D.A. Wilton, 1971. "Moving-Average Transformations in Classical Linear Models," Working Paper 66, Economics Department, Queen's University.
    2. Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-342, November.
    3. Aigner, Dennis J, 1971. "A Compendium on Estimation of the Autoregressive-Moving Average Model from Time Series Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 348-371, October.
    4. J.C.R. Rowley & D.A. Wilton, 1971. "Quarterly Models of Wage Determination: Some New Efficient Estimates," Working Paper 51, Economics Department, Queen's University.
    5. Y. Haitovsky, 1968. "Regression Analysis of Grouped Observations when the Cross Classifications are Unknown," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(1), pages 77-89.
    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


    Cited by:

    1. J.C.R. Rowley & D.A. Wilton, 1972. "Temporal Spillover and Autocorrelation in Some Aggregate Models of Wage-Determination," Working Paper 82, Economics Department, Queen's University.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alexandre Petkovic & David Veredas, 2009. "Aggregation of linear models for panel data," Working Papers ECARES 2009-012, ULB -- Universite Libre de Bruxelles.
    2. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    3. Jon Cockerline & John F. Helliwell & Robert Lafrance, 1990. "Multicountry modeling of financial markets," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 305-363.
    4. Teles, Paulo & Wei, William W. S., 2000. "The effects of temporal aggregation on tests of linearity of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 91-103, July.
    5. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-1435, November.
    6. Yue Fang, 2005. "The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 527-541, July.
    7. Janice Boucher Breuer & John Mcdermott & Warren E. Weber, 2018. "Time Aggregation and the Relationship between Inflation and Money Growth," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 351-375, March.
    8. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
    9. Han Liu & Ying Liu & Yonglian Wang, 2021. "Exploring the influence of economic policy uncertainty on the relationship between tourism and economic growth with an MF-VAR model," Tourism Economics, , vol. 27(5), pages 1081-1100, August.
    10. Maria Nikoloudaki & Dikaios Tserkezos, 2008. "Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results," Working Papers 0822, University of Crete, Department of Economics.
    11. M. Beatriz Mota Aragón & Faviola Hernández Jiménez, 2011. "Un modelo para evaluar el VPN mediante modelos autoregresivos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 66-87.
    12. Babai, M. Zied & Ali, Mohammad M. & Nikolopoulos, Konstantinos, 2012. "Impact of temporal aggregation on stock control performance of intermittent demand estimators: Empirical analysis," Omega, Elsevier, vol. 40(6), pages 713-721.
    13. Palm, Franz & Zellner, Arnold, 1981. "Large sample estimation and testing procedures for dynamic equation systems," Journal of Econometrics, Elsevier, vol. 17(1), pages 131-138, September.
    14. Chateau, Jean-Pierre D., 1979. "Une analyse économétrique de la demande et de l’offre de dépôts des sociétés de crédit populaire : le cas des Caisses populaires," L'Actualité Economique, Société Canadienne de Science Economique, vol. 55(2), pages 207-229, avril.
    15. Marcello Estevao, "undated". "Measurement Error and Time Aggregation: A Closer Look at Estimates of Output-Labor Elasticities," Finance and Economics Discussion Series 1996-02, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
    16. Montmarquette, Claude, 1976. "Commentaires sur le traitement des inventaires dans le modèle CANDIDE," L'Actualité Economique, Société Canadienne de Science Economique, vol. 52(1), pages 65-68, janvier.
    17. Steven C. Blank & Brian H. Schmiesing, 1990. "Whimsical aggregation of temporal data, market identification, and fragile results," Agribusiness, John Wiley & Sons, Ltd., vol. 6(1), pages 33-40.
    18. Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 987-1003, September.
    19. Alexandre Petkovic, 2009. "Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models," ULB Institutional Repository 2013/210357, ULB -- Universite Libre de Bruxelles.
    20. Ruist, Erik, 1996. "Temporal Aggregation of an Econometric Equation," Working Papers 52, National Institute of Economic Research.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:70. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Babcock (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.