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|
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- Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005.
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15-86, Wharton School Rodney L. White Center for Financial Research.
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