On Temporal Aggregation of Linear Dynamic Models

Noriyoshi Oguchi and Takao Fukuchi

International Economic Review, 1990, vol. 31, issue 1, 187-93

Abstract: The necessary and sufficient conditions for the perfect temporal aggregation of deterministic linear models are derived. For the models without true exogenous variables, they are: (1) the aggregated model must reduce to a system of difference equations of the same order and with basically the same characteristic roots as the disaggregated model, and (2) for each equation of the disaggregated model containing any lagged explanatory variable, the aggregated counterpart must have the same number of explanatory variables as the order of the difference equation system. The case with true exogenous variables is also discussed. Copyright 1990 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1990
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