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Citations for "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models"

by Brewer, K. R. W.

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  1. H. Niemi, 1984. "The invertibility of sampled and aggregated ARMA models," Metrika, Springer, vol. 31(1), pages 43-50, December.
  2. Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 02, University of California, Davis, Department of Economics.
  3. Ruist, Erik, 1996. "Temporal Aggregation of an Econometric Equation," Working Paper, National Institute of Economic Research 52, National Institute of Economic Research.
  4. repec:lan:wpaper:2464 is not listed on IDEAS
  5. Dikaios Tserkezos & Maria Nikoloudaki, 2005. "Temporal Aggregation Effects In Choosing The Optimal Lag Order In Stable Arma Models. Some Monte Carlo Results," Working Papers, University of Crete, Department of Economics 0822, University of Crete, Department of Economics.
  6. Ramirez, Octavio A., 2011. "Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts," Faculty Series 113520, University of Georgia, Department of Agricultural and Applied Economics.
  7. Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, Elsevier, vol. 65(2), pages 333-345, February.
  8. Oomen, Roel C. A., 2004. "Modelling realized variance when returns are serially correlated," Discussion Papers, Research Unit: Market Processes and Governance SP II 2004-11, Social Science Research Center Berlin (WZB).
  9. SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies 614, Umeå University, Department of Economics.
  11. Tilak Abeysinghe & Anthony S. Tay, 2000. "Dynamic Regressions with Variables Observed at Different Frequencies," Econometric Society World Congress 2000 Contributed Papers 0752, Econometric Society.
  12. Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
  13. Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2010(2), pages 1-26.
  14. Choi, Chi-Young & Mark, Nelson C. & Sul, Donggyu, 2006. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(4), pages 921-938, June.
  15. Yan Shen & Cheng Hsiao & Hiroshi Fujiki, 2005. "Aggregate vs. disaggregate data analysis-a paradox in the estimation of a money demand function of Japan under the low interest rate policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(5), pages 579-601.
  16. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print peer-00815563, HAL.
  17. Oscar Jordà & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
  18. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
  19. repec:lan:wpaper:2606 is not listed on IDEAS
  20. Ivan Paya & Agustin Duarte & Ken Holden, 2007. "On the Relationship between Inflation Persistence and Temporal Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(6), pages 1521-1531, 09.
  21. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  22. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods and Applications, Springer, vol. 21(1), pages 93-107, March.
  23. Brannas, Kurt & Hellstrom, Jorgen & Nordstrom, Jonas, 2002. "A new approach to modelling and forecasting monthly guest nights in hotels," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(1), pages 19-30.
  24. Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  25. Lyon, Charles C. & Thompson, Gary D., 1991. "Model Selection With Temporal And Spatial Aggregation: Alternative Marketing Margin Models," Staff Papers 13253, University of Minnesota, Department of Applied Economics.