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Temporal aggregation in a periodically integrated autoregressive process

Author

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  • Franses, P.H.
  • Boswijk, H.P.

    (Tilburg University, School of Economics and Management)

Abstract

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.)

Suggested Citation

  • Franses, P.H. & Boswijk, H.P., 1993. "Temporal aggregation in a periodically integrated autoregressive process," Other publications TiSEM 2ef3689d-9fa6-419a-850e-5, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:2ef3689d-9fa6-419a-850e-52babdf875b5
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    Cited by:

    1. Łukasz Lenart, 2017. "Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(1), pages 29-67, March.
    2. Bauer, Dietmar & del Barrio Castro, Tomás, 2025. "The Effect of Aggregation on Seasonal Cointegration in Mixed Frequency data," MPRA Paper 126066, University Library of Munich, Germany.
    3. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
    4. Rotger, Gabriel Pons, "undated". "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers 2003-16, Department of Economics and Business Economics, Aarhus University.
    5. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.

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