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Temporal Aggregation of an Econometric Equation

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  • Ruist, Erik

    (Stockholm School of Economics)

Abstract

Structural breaks in an economy may make the time period available for estimation of an econometric equation exceedingly short. To use the existing information efficiently, it may be profitable to use high-frequency data, say monthly data, for estimation of a particular equation, even if the rest of the model is expressed in terms of data of lower frequency, say quarterly or half-yearly. In order to be included in the model, this equation has to be transformed to the same data frequency as the rest of the model. If the variables are of different types, or if some of the variables are lagged, exact transformations to equations that produce equivalent predicted values of the dependent variable are not possible. This note gives approximations and estimates for the varoius terms of the equations. Linear interpolation estimates as well as estimates that are optimal in a certain sense are given for the case of aggregation of monthly variables to semi-annual ones. It turns out that in the exchange rate equation in the KOSMOS model, the approximations do not increase the equation error substantially.

Suggested Citation

  • Ruist, Erik, 1996. "Temporal Aggregation of an Econometric Equation," Working Papers 52, National Institute of Economic Research.
    • Handle: RePEc:hhs:nierwp:0052
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    References listed on IDEAS

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    1. Markowski, Aleksander, 1996. "The Financial Block in the Econometric Model KOSMOS," Working Papers 53, National Institute of Economic Research.
    2. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
    3. Wei, William W. S., 1978. "The effect of temporal aggregation on parameter estimation in distributed lag model," Journal of Econometrics, Elsevier, vol. 8(2), pages 237-246, October.
    4. Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-342, November.
    5. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
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    Cited by:

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    2. Lindén, Johan, 2004. "The Labor Market in KIMOD," Working Papers 89, National Institute of Economic Research.
    3. P�r Österholm, 2014. "Survey data and short-term forecasts of Swedish GDP growth," Applied Economics Letters, Taylor & Francis Journals, vol. 21(2), pages 135-139, January.
    4. Österholm, Pär, 2013. "Forecasting Business Investment in the Short Term Using Survey Data," Working Papers 131, National Institute of Economic Research.
    5. Gren, Ing-Marie, 2003. "Monetary Green Accounting and Ecosystem Services," Working Papers 86, National Institute of Economic Research.
    6. Lindström, Tomas, 2003. "The Role of High-Tech Capital Formation for Swedish Productivity Growth," Working Papers 83, National Institute of Economic Research.
    7. Forslund, Johanna & Samakovlis, Eva & Vredin Johansson, Maria, 2006. "Matters Risk? The Allocation of Government Subsidies for Remediation of Contaminated Sites under the Local Investment Programme," Working Papers 94, National Institute of Economic Research.
    8. Jan-Erik Antipin & Farid Jimmy Boumediene & Pär Österholm, 2014. "On the Usefulness of Constant Gain Least Squares when Forecasting the Unemployment Rate," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 60(4), pages 315-336.
    9. Boman, Mattias & Huhtala, Anni & Nilsson, Charlotte & Alroth, Sofia & Bostedt, Göran & Mattssson, Leif & Gong, Peichen, 2003. "Applying the Contingent Valuation Method in Resource Accounting: A Bold Proposal," Working Papers 85, National Institute of Economic Research.
    10. Vartiainen, Juhana, 2010. "Interpreting Wage Bargaining Norms," Working Papers 116, National Institute of Economic Research.
    11. Meredith Beechey & Pär Österholm, 2014. "Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 63-78, February.
    12. Alsterlind, Jan & Markowski, Alek & Nilsson, Kristian, 2004. "Modelling the Foreign Sector in a Macroeconometric Model of Sweden," Working Papers 88, National Institute of Economic Research.
    13. Östblom, Göran & Ljunggren Söderman, Maria & Sjöström, Magnus, 2010. "Analysing future solid waste generation - Soft linking a model of waste management with a CGE-model for Sweden," Working Papers 118, National Institute of Economic Research.

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