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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Titolo: | Some consequences of temporal aggregation in empirical analysis |
Data di pubblicazione: | 1999 |
Autori: | |
Autori: | Marcellino, Massimiliano |
Rivista: | JOURNAL OF BUSINESS & ECONOMIC STATISTICS |
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. |
Codice identificativo Scopus: | 2-s2.0-0033481207 |
Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista Scientifica |
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