Temporal aggregation of univariate linear time series models

Andrea Silvestrini and David Veredas

No 2005059, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although intuitively, the technical machinery behind the results. An empirical application with Belgian public deficit data illustrates the main issues.

Keywords: temporal aggregation; ARIMA; GARCH; seasonality (search for similar items in EconPapers)
JEL-codes: C10 C22 C43 (search for similar items in EconPapers)
Date: 2005-09
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Citations: View citations in EconPapers (7)

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Working Paper: Temporal aggregaton of univariate linear time series models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2005059

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