Temporal aggregation and time deformation

Steven Cook

Applied Economics Letters, 2001, vol. 8, issue 6, 363-365

Abstract: Building upon the results of Rossana and Seater (1995) the impact of temporal aggregation on Stock's (1987) tests of time deformation is examined. Using disaggregated UK consumption data the effect of temporal aggregation is found to be substantial, masking the non-linearity present in higher frequency data

Date: 2001
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DOI: 10.1080/135048501750237784

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