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Citations for "Systematic sampling and temporal aggregation in time series models"

by Weiss, Andrew A.

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  1. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods and Applications, Springer, vol. 21(1), pages 93-107, March.
  2. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1990. "An analogue model of phase-averaging procedures," Journal of Econometrics, Elsevier, vol. 43(3), pages 275-292, March.
  3. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
  4. Christian, Müller, 2011. "The forward-bias puzzle: Still unsolved," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 605-610, October.
  5. Carlo Grillenzoni, 1997. "Optimized adaptive prediction," Statistical Methods and Applications, Springer, vol. 6(1), pages 37-58, April.
  6. Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502.
  7. Nijman, T.E. & Palm, F.C., 1987. "Predictive accuracy gain from disaggregate sampling in ARIMA-models," Research Memorandum FEW 273, Tilburg University, School of Economics and Management.
  8. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print peer-00815563, HAL.
  9. David Aadland, 2002. "Detrending Time-Aggregated Data," Microeconomics 0211015, EconWPA.
  10. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis.
  11. Aadland, David & Huang, Kevin X. D., 2004. "Consistent high-frequency calibration," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2277-2295, October.
  12. Oscar Jordà & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
  13. repec:ltr:wpaper:2007.04 is not listed on IDEAS
  14. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
  15. Massimiliano Marcellino & Oscar Jorda, . "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  16. Samantha Farmakis-Gamboni & David Prentice, 2007. "Does Reducing Union Bargaining Power Increase Productivity?," Working Papers 2007.04, School of Economics, La Trobe University.
  17. Ruist, Erik, 1996. "Temporal Aggregation of an Econometric Equation," Working Paper 52, National Institute of Economic Research.
  18. Gebhard Flaig & Horst Rottmann, 2000. "Input Demand and the Short- and Long-Run Employment Thresholds. An Empirical Analysis for the German Manufacturing Sector," CESifo Working Paper Series 264, CESifo Group Munich.
  19. Carlo Grillenzoni, 2000. "Time-Varying Parameters Prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(1), pages 108-122, March.
  20. Rajaguru GULASEKARAN & Tilak ABEYSINGHE, 2002. "The Distortionary Effects Of Temporal Aggregation On Granger Causality," Departmental Working Papers wp0204, National University of Singapore, Department of Economics.
  21. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," CORE Discussion Papers 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.
  23. Feijoo, Santiago Rodriguez & Caro, Alejandro Rodriguez & Quintana, Delia Davila, 2003. "Methods for quarterly disaggregation without indicators; a comparative study using simulation," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 63-78, May.
  24. Samantha Farmakis‐Gamboni & David Prentice, 2011. "When Does Reducing Union Bargaining Power Increase Productivity? Evidence from the Workplace Relations Act," The Economic Record, The Economic Society of Australia, vol. 87(279), pages 603-616, December.
  25. Dekker, Mark & van Donselaar, Karel & Ouwehand, Pim, 2004. "How to use aggregation and combined forecasting to improve seasonal demand forecasts," International Journal of Production Economics, Elsevier, vol. 90(2), pages 151-167, July.
  26. 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.
  27. Kourentzes, Nikolaos & Petropoulos, Fotios & Trapero, Juan R., 2014. "Improving forecasting by estimating time series structural components across multiple frequencies," International Journal of Forecasting, Elsevier, vol. 30(2), pages 291-302.
  28. Tilak Abeysinghe & Anthony S. Tay, 2000. "Dynamic Regressions with Variables Observed at Different Frequencies," Econometric Society World Congress 2000 Contributed Papers 0752, Econometric Society.
  29. Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006. "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 505-522.
  30. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
  31. 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.
  32. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
  33. Zotteri, Giulio & Kalchschmidt, Matteo, 2007. "A model for selecting the appropriate level of aggregation in forecasting processes," International Journal of Production Economics, Elsevier, vol. 108(1-2), pages 74-83, July.
  34. repec:dgr:kubcen:200440 is not listed on IDEAS
  35. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  36. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
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