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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 17 (1999)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main|
|Order Information:||Web: http://www.amstat.org/publications/index.html|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-63, May.
- Granger, C.W.J. & Siklos, P.L., 1993.
"Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence,"
93001, Wilfrid Laurier University, Department of Economics.
- 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.
- Edin, P.A. & Bergstrom, R., 1991.
"Time aggregation and the Distributional Shape of Unemployment Duration,"
1991u, Uppsala - Working Paper Series.
- Bergstrom, R & Edin, P-A, 1992. "Time Aggregation and the Distributional Shape of Unemployment Duration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 5-30, Jan.-Marc.
- Campbell, John & Shiller, Robert, 1987.
"Cointegration and Tests of Present Value Models,"
3122490, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
- John J. Seater & Robert J. Rossana, .
"Temporal Aggregation and Economic Time Series,"
Working Paper Series
19, North Carolina State University, Department of Economics.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Gamber, Edward N. & Joutz, Frederick L., 1993. "An application of estimating structural vector autoregression models with long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 723-745.
- Thomas J. Cunningham & Gikas A. Hardouvelis, 1989.
"Money and interest rates: the effects of temporal aggregation and data revisions,"
8908, Federal Reserve Bank of New York.
- Cunningham, Thomas J. & Hardouvelis, Gikas A., 1992. "Money and interest rates: The effects of temporal aggregation and data revisions," Journal of Economics and Business, Elsevier, vol. 44(1), pages 19-30, February.
- Zellner, Arnold & Palm, Franz, 1974.
"Time series analysis and simultaneous equation econometric models,"
Journal of Econometrics,
Elsevier, vol. 2(1), pages 17-54, May.
- ZELLNER, Arnold & PALM, Franz, . "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP -173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Campos, Julia, 1992. "Confidence intervals for linear combinations of forecasts from dynamic econometric models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 535-560, August.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Lippi, Marco & Reichlin, Lucrezia, 1991.
"Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter?,"
Royal Economic Society, vol. 101(405), pages 314-23, March.
- Lucrezia Reichlin & Marco Lippi, 1991. "Trend-cycle decompositions and measures of persistence: does time aggregation matter?," ULB Institutional Repository 2013/10163, ULB -- Universite Libre de Bruxelles.
- Hendry, David F., 1992. "An econometric analysis of TV advertising expenditure in the United Kingdom," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 281-311, June.
- Rossana, Robert J & Seater, John J, 1992. "Aggregation, Unit Roots and the Time Series Structure on Manufacturing Real Wages," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 159-79, February.
- repec:nbr:nberre:0126 is not listed on IDEAS
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Taylor, John B, 1980.
"Aggregate Dynamics and Staggered Contracts,"
Journal of Political Economy,
University of Chicago Press, vol. 88(1), pages 1-23, February.
- King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : II. New directions," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 309-341.
- King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:17:y:1999:i:1:p:129-36. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.