RANDOM-TIME AGGREGATION IN PARTIAL AJUSTMENT MODELS

Oscar Jorda

No 212, Working Papers from University of California, Davis, Department of Economics

Abstract: How is econometric analysis (of partial adjustment models) affected by the fact that, while data collection is done at regular, fixed intervals of time, economic decisions are made at random intervals of time? This paper addresses this question by modelling the economic decision making process as a general point process. Under random-time aggregation: (1) inference on the speed of adjustment is biased - adjustments are a function of the intensity of the point process and the proportion of adjustment; (2) inference on the correlation with exogenous variables is generally downward biased; and (3) a non-constant intensity of the point process gives rise to a general class of regime dependent time series models. An empirical application to test the production-smoothing-buffer-stock model of inventory behavior illustrates, in practice, the effects of random-time aggregation.

Pages: 49
Date: 2003-01-08
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https://repec.dss.ucdavis.edu/files/vBdzq4wZJKz1rxWayuoKGSvE/97-32.pdf (application/pdf)

Related works:
Journal Article: Random-Time Aggregation in Partial Adjustment Models (1999)
Working Paper: RANDOM-TIME AGGREGATION IN PARTIAL AJUSTMENT MODELS
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Persistent link: https://EconPapers.repec.org/RePEc:cda:wpaper:212

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