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Temporal aggregation in a periodically integrated autoregressive process

Listed author(s):
  • Franses, P.H.
  • Boswijk, H.P.

    (Tilburg University, Faculty of Economics)

A periodically integrated autoregressive process for a time series which is observed S times per year assumes the presence of S - 1 cointegration relations between the annual series containing the seasonal observations, with the additional feature that these relations are different across the seasons. This means that there is a single unit root in the vector autoregression for these annual series. In this paper it is shown that temporally aggregating such a process does not affect the presence of this unit root, i.e. the aggregated series is also periodically integrated.

(This abstract was borrowed from another version of this item.)

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File URL: https://pure.uvt.nl/portal/files/5213761/FPHBHP5613207.pdf
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Paper provided by Tilburg University, School of Economics and Management in its series Research Memorandum with number 2ef3689d-9fa6-419a-850e-52babdf875b5.

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Date of creation: 1993
Handle: RePEc:tiu:tiurem:2ef3689d-9fa6-419a-850e-52babdf875b5
Contact details of provider: Web page: https://www.tilburguniversity.edu/about/schools/economics-and-management/

References listed on IDEAS
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  1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
  2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
  3. Osborn, Denise R., 1991. "The implications of periodically varying coefficients for seasonal time-series processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 373-384, June.
  4. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
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