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Temporal aggregation in structural VAR models

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  • Dimitris A. Georgoutsos
  • Georgios P. Kouretas
  • Dikaios E. Tserkezos

Abstract

This paper examines the effects of temporal aggregation on the estimated time series properties of economic data. Theory predicts that temporal aggregation loses information about the underlying data processes. We derive low frequency, quarterly and annual, models implied by high frequency, monthly, structural vector autoregressive (SVAR) models and we find that these losses in information are substantial. It is shown that the accuracy of both the estimates and the forecasts of this class of models improve substantially when monthly data are used. Moreover, the aggregated data show more long‐run persistence than the underlying disaggregated data. © 1998 John Wiley & Sons, Ltd.

Suggested Citation

  • Dimitris A. Georgoutsos & Georgios P. Kouretas & Dikaios E. Tserkezos, 1998. "Temporal aggregation in structural VAR models," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 14(1), pages 19-34, March.
  • Handle: RePEc:wly:apsmda:v:14:y:1998:i:1:p:19-34
    DOI: 10.1002/(SICI)1099-0747(199803)14:13.0.CO;2-H
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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.
    2. 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.

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