Temporal aggregation in first order cointegrated vector autoregressive

Lisbeth la Cour () and Anders Milhøj
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Anders Milhøj: Department of Economics, Copenhagen Business School, Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark

No 14-2006, Working Papers from Copenhagen Business School, Department of Economics

Abstract: We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline.

Keywords: na (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2006-01-01
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