Some consequences of temporal aggregation in empirical analysis

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.