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Temporal Aggregation in the Multiple Regression Model

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  • Geweke, John F

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  • Geweke, John F, 1978. "Temporal Aggregation in the Multiple Regression Model," Econometrica, Econometric Society, vol. 46(3), pages 643-661, May.
  • Handle: RePEc:ecm:emetrp:v:46:y:1978:i:3:p:643-61
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    Cited by:

    1. Qian, Hang, 2012. "Essays on statistical inference with imperfectly observed data," ISU General Staff Papers 201201010800003618, Iowa State University, Department of Economics.
    2. Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991. "The Permanent Income Hypothesis Revisited," Econometrica, Econometric Society, vol. 59(2), pages 397-423, March.
    3. Nijman, Theo E & Palm, Franz C, 1990. "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-415, October.
    4. Qin, Xiao & Zhou, Chunyang & Wu, Chongfeng, 2016. "Revisiting asymmetric price transmission in the U.S. oil-gasoline markets: A multiple threshold error-correction analysis," Economic Modelling, Elsevier, vol. 52(PB), pages 583-591.
    5. Aadland, David, 2005. "Detrending time-aggregated data," Economics Letters, Elsevier, vol. 89(3), pages 287-293, December.
    6. Jacint Balaguer & Jordi Ripollés, 2016. "Exploring the life of price responses in fuel markets. Mean group data or mean group estimator?," Working Papers 2016/16, Economics Department, Universitat Jaume I, Castellón (Spain).
    7. Lance J. Bachmeier & James M. Griffin, 2003. "New Evidence on Asymmetric Gasoline Price Responses," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 772-776, August.
    8. Linton, Oliver B. & Mammen, Enno, 2008. "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
    9. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002. "The Dynamics of the Impact of Past Performance on Mutual Fund Flows," Discussion Paper 2002-2, Tilburg University, Center for Economic Research.
    10. Balaguer, Jacint & Ripollés, Jordi, 2016. "Asymmetric fuel price responses under heterogeneity," Energy Economics, Elsevier, vol. 54(C), pages 281-290.
    11. Özgür Bor & Mustafa Ýsmihan, 2013. "Gasoline Pricing, Taxation and Asymmetry: The Case of Turkey," Working Papers 2013/7, Turkish Economic Association.
    12. Balaguer, Jacint & Ripollés, Jordi, 2012. "Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data," Energy Economics, Elsevier, vol. 34(6), pages 2066-2071.
    13. Chua, Chew Lian & De Silva, Chamaka & Suardi, Sandy, 2017. "Do petrol prices increase faster than they fall in market disequilibria?," Energy Economics, Elsevier, vol. 61(C), pages 135-146.
    14. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
    15. Bremmer, Dale S. & Kesselring, Randall G., 2016. "The relationship between U.S. retail gasoline and crude oil prices during the Great Recession: “Rockets and feathers” or “balloons and rocks” behavior?," Energy Economics, Elsevier, vol. 55(C), pages 200-210.
    16. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
    17. Riemer P. Faber, 2015. "More New Evidence on Asymmetric Gasoline Price Responses," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    18. Wlaslowski, Szymon & Binner, Jane & Guiletti, Monica & Joseph, Nathan & Nilsson, Birger, 2007. "New York mark-ups on petroleum products," Working Papers 2008:2, Lund University, Department of Economics.
    19. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
    20. Wlazlowski, Szymon & Binner, Jane & Giulietti, Monica & Joseph, Nathan, 2006. "Non-linearities in mark-up on costs," MPRA Paper 1468, University Library of Munich, Germany.
    21. Qian, Hang, 2010. "Linear regression using both temporally aggregated and temporally disaggregated data: Revisited," MPRA Paper 32686, University Library of Munich, Germany.
    22. Lo Prete, Chiara & Norman, Catherine S., 2013. "Rockets and feathers in power futures markets? Evidence from the second phase of the EU ETS," Energy Economics, Elsevier, vol. 36(C), pages 312-321.

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