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Citations for "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models"

by Brewer, K. R. W.

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  1. Oomen, Roel C. A., 2004. "Modelling realized variance when returns are serially correlated
    [Modellierung realisierter Varianz bei autokorrelierten Erträgen]
    ," Discussion Papers, Research Unit: Market Processes and Governance SP II 2004-11, Social Science Research Center Berlin (WZB).
  2. SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," CORE Discussion Papers 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Lyon, Charles C. & Thompson, Gary D., 1991. "Model Selection With Temporal And Spatial Aggregation: Alternative Marketing Margin Models," Staff Papers 13253, University of Minnesota, Department of Applied Economics.
  4. Choi, Chi-Young & Mark, Nelson C. & Sul, Donggyu, 2006. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 921-938, June.
  5. Oscar Jorda & Massimiliano Marcellino, 2003. "Time-Scale Transformations of Discrete-Time Processes," Working Papers 32, University of California, Davis, Department of Economics.
  6. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
  7. Ivan Paya & Agustin Duarte & Ken Holden, 2007. "On the Relationship between Inflation Persistence and Temporal Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1521-1531, 09.
  8. Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 02, University of California, Davis, Department of Economics.
  9. Ruist, Erik, 1996. "Temporal Aggregation of an Econometric Equation," Working Papers 52, National Institute of Economic Research.
  10. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
  11. Ramirez, Octavio A., 2012. "Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123470, Agricultural and Applied Economics Association.
  12. Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2004. "Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy," IEPR Working Papers 04.1, Institute of Economic Policy Research (IEPR).
  13. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
  14. Brännäs, Kurt & Hellström, Jörgen & Nordström, Jonas, 1999. "A New Approach to Modelling and Forecasting Monthly Guest Nights in Hotels," Umeå Economic Studies 503, Umeå University, Department of Economics.
  15. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies 614, Umeå University, Department of Economics.
  16. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 93-107, March.
  17. H. Niemi, 1984. "The invertibility of sampled and aggregated ARMA models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 43-50, December.
  18. repec:lan:wpaper:2606 is not listed on IDEAS
  19. Dikaios Tserkezos & Maria Nikoloudaki, 2005. "Temporal Aggregation Effects In Choosing The Optimal Lag Order In Stable Arma Models. Some Monte Carlo Results," Working Papers 0822, University of Crete, Department of Economics.
  20. Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, vol. 65(2), pages 333-345, February.
  21. Souza, Leonardo da Rocha de, 2003. "The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  22. repec:lan:wpaper:2464 is not listed on IDEAS
  23. Tilak Abeysinghe & Anthony S. Tay, 2000. "Dynamic Regressions with Variables Observed at Different Frequencies," Econometric Society World Congress 2000 Contributed Papers 0752, Econometric Society.
  24. Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
  25. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
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