On the Choice of the Unit Period in Time Series Models

Peter Fuleky

No 2011-4, Working Papers from University of Hawaii Economic Research Organization, University of Hawaii at Manoa

Abstract: When estimating the parameters of a process, researchers can choose the reference unit of time (unit period) for their study. Frequently, they set the unit period equal to the observation interval. However, I show that decoupling the unit period from the observation interval facilitates the comparison of parameter estimates across studies with different data sampling frequencies. If the unit period is standardized (for example annualized) across these studies, then the parameters will represent the same attributes of the underlying process, and their interpretation will be independent of the sampling frequency.

Keywords: Unit Period; Sampling Frequency; Bias; Time Series. (search for similar items in EconPapers)
JEL-codes: C13 C22 C51 C82 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2011-08
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the choice of the unit period in time series models (2012)
Working Paper: On the Choice of the Unit Period in Time Series Models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hae:wpaper:2011-4

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