On the Effects of Aggregating Cointegrated Variables over Time

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On the Effects of Aggregating Cointegrated Variables over Time

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C. Müller

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Christian Müller

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 2002-9.

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Handle: RePEc:wop:humbsf:2002-9

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References listed on IDEAS
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Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369. [Downloadable!] (restricted)
Other versions:
- Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996. "Modelling the Demand for M3 in the unified Germany," Working Paper Series in Economics and Finance 113, Stockholm School of Economics.
Other versions:
- J. Wolters & T. Ter"Asvirta & H. L"Utkepohl, . "Modelling the Demand for M3 in the Unified Germany," Sonderforschungsbereich 373 1996-24, Humboldt Universitaet Berlin.
- Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998. "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August. [Downloadable!] (restricted)
Jan Gottschalk, 1999. "A Cointegration Analysis of a Money Demand System in Europe," Kiel Working Papers 902, Kiel Institute for the World Economy. [Downloadable!]
J. Breitung & N. Swanson, . "Temporal Aggregation and Causility in Multiple Series Models," Sonderforschungsbereich 373 1998-27, Humboldt Universitaet Berlin.
Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)

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