On the Choice of the Unit Period in Time Series Models
When estimating the parameters of a process, researchers can choose the reference unit of time (unit period) for their study. Frequently, they set the unit period equal to the observation interval. However, I show that decoupling the unit period from the observation interval facilitates the comparison of parameter estimates across studies with different data sampling frequencies. If the unit period is standardized (for example annualized) across these studies, then the parameters will represent the same attributes of the underlying process, and their interpretation will be independent of the sampling frequency.
|Date of creation:||Aug 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: (808) 956-2889
Web page: http://www.uhero.hawaii.edu
More information through EDIRC
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.:
- Chan, K C, et al, 1992.
" An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,"
Journal of Finance,
American Finance Association, vol. 47(3), pages 1209-27, July.
- Tom Doan, . "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005.
"Indirect Robust Estimation of the Short-term Interest Rate Process;,"
Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva
2005.02, Institut d'Economie et Econométrie, Université de Genève.
- Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
- Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
- Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
- Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
- Andrew W. Lo, .
"Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data,"
Rodney L. White Center for Financial Research Working Papers
15-86, Wharton School Rodney L. White Center for Financial Research.
- Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(02), pages 231-247, August.
- Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:hae:wpaper:2011-4. 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: (UHERO)
If references are entirely missing, you can add them using this form.