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Temporal aggregaton of univariate linear time series models

Andrea Silvestrini

No 2005044, Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques

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)
Pages: 46
Date: 2005-08-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Temporal aggregation of univariate linear time series models (2005) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvec:2005044

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