A Kit of Results For Sampled and Temporally Aggregated Models

Luigi Ermini

No 199205, Working Papers from University of Hawaii at Manoa, Department of Economics

Abstract: Interest in the effect of sampling and temporal aggregation on empirical results in macroeconomics and finance is growing. While the effects on the order of ARIMA representations are well known in the literature, the effects on model parameters are not, with a few exceptions. This paper presents general expressions for the effects on parameter values that can be useful for researchers in this area. Applications to IMA(1,2) processes and to the cross-correlations of two IMA(1,1) processes are illustrated.

Keywords: temporal; aggregation (search for similar items in EconPapers)
JEL-codes: C4 C5 (search for similar items in EconPapers)
Pages: 12 pages
Date: 1992
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