Time-Scale Transformations of Discrete-Time Processes

Oscar Jorda and Massimiliano Marcellino

No 65, Working Papers from University of California, Davis, Department of Economics

Abstract: This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A variable aggregation frequency implies that the aggregated process will exhibit time-varying parameters and non-spherical disturbances, even when these characteristics are absent from the original model. Consequently, we develop methods for specification and estimation of the aggregate models and show with an example how these methods perform in practice.

Keywords: time aggregation; time-scale transformation; irregularly spaced data; autoregressive conditional intensity model. (search for similar items in EconPapers)
JEL-codes: C22 C43 F31 (search for similar items in EconPapers)
Pages: 29
Date: 2003-02-23
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.dss.ucdavis.edu/files/WZf1AJDc6Lo417QiWWmiPASM/03-2.pdf (application/pdf)

Related works:
Journal Article: Time‐scale transformations of discrete time processes (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cda:wpaper:65

Access Statistics for this paper

More papers in Working Papers from University of California, Davis, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Letters and Science IT Services Unit ().