Some Consequences of Temporal Aggregation in Empirical Analysis
The author derives the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. He then studies the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues.
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Volume (Year): 17 (1999)
Issue (Month): 1 (January)
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