I derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues. © 1999 Taylor & Francis Group, LLC.

Some consequences of temporal aggregation in empirical analysis

MARCELLINO, MASSIMILIANO
1999

Abstract

I derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues. © 1999 Taylor & Francis Group, LLC.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11565/3714680
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