Temporal Aggregation and Economic Time Series
The authors examine the effects of temporal aggregation on the estimated time-series properties of economic data. Theory predicts temporal aggregation loses information about the underlying data processes. The authors find those losses to be substantial. Monthly and quarterly data are governed by complex time-series processes with much low-frequency cyclical variation, whereas annual data are governed by extremely simple processes with virtually no cyclical variation. Cycles of much more than a year's duration in the monthly data disappear when the data are aggregated to annual observations. Also, the aggregated data show more long-run persistence than the underlying disaggregated data.
(This abstract was borrowed from another version of this item.)
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Phone: (919) 515-3274|
Web page: http://www.mgt.ncsu.edu/faculty/economics.html
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ncs:wpaper:19. 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: (Theofanis Tsoulouhas)
If references are entirely missing, you can add them using this form.