Persistence under temporal aggregation and differencing

Uwe Hassler

Economics Letters, 2014, vol. 124, issue 2, 318-322

Abstract: Temporal aggregation is known to affect the persistence of time series. We study the aggregation of flow variables as well as stock data, and difference-stationarity is allowed for. Moreover, moving averages encountered when computing annual growth rates (seasonal differences) are investigated. Using a relative persistence measure (long-run variance ratio), it is clarified when persistence is increased or decreased, and by how much. Our results are exact for a finite aggregation level. They are illustrated with monthly time series. Approximate results for the growing aggregation level are provided, too.

Keywords: Cumulating; Skip sampling; Difference-stationarity; Seasonal differences (search for similar items in EconPapers)
JEL-codes: C22 C82 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:2:p:318-322

DOI: 10.1016/j.econlet.2014.06.011

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