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On Temporal Aggregation of Linear Dynamic Models

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  • Oguchi, Noriyoshi
  • Fukuchi, Takao

Abstract

The necessary and sufficient conditions for the perfect temporal aggregation of deterministic linear models are derived. For the models without true exogenous variables, they are: (1) the aggregated model must reduce to a system of difference equations of the same order and with basically the same characteristic roots as the disaggregated model, and (2) for each equation of the disaggregated model containing any lagged explanatory variable, the aggregated counterpart must have the same number of explanatory variables as the order of the difference equation system. The case with true exogenous variables is also discussed. Copyright 1990 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Suggested Citation

  • Oguchi, Noriyoshi & Fukuchi, Takao, 1990. "On Temporal Aggregation of Linear Dynamic Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(1), pages 187-193, February.
  • Handle: RePEc:ier:iecrev:v:31:y:1990:i:1:p:187-93
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    Cited by:

    1. Dikaios Tserkezos & Konstantinos Tsagarakis, 2008. "A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results," Working Papers 0821, University of Crete, Department of Economics.

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