Temporal aggregation in a periodically integrated autoregressive process

Philip Hans Franses and H. Peter Boswijk ()

Statistics & Probability Letters, 1996, vol. 30, issue 3, 235-240

Abstract: A periodically integrated autoregressive process for a time series which is observed S times per year assumes the presence of S - 1 cointegration relations between the annual series containing the seasonal observations, with the additional feature that these relations are different across the seasons. This means that there is a single unit root in the vector autoregression for these annual series. In this paper it is shown that temporally aggregating such a process does not affect the presence of this unit root, i.e. the aggregated series is also periodically integrated.

Date: 1996
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Working Paper: Temporal aggregation in a periodically integrated autoregressive process (1993)
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