Some Consequences of Temporal Aggregation in Empirical Analysis

Massimiliano Marcellino

Journal of Business & Economic Statistics, 1999, vol. 17, issue 1, 129-36

Abstract: The author derives the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. He then studies the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:17:y:1999:i:1:p:129-36

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