Some consequences of temporal aggregation in empirical analysis

被引：138

作者：

Marcellino, M ^{[1
]}

机构：

[1] Bocconi Univ, IGIER, I-20136 Milan, Italy

[2] European Univ Inst, I-50016 Florence, Italy

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1999年 / 17卷 / 01期

关键词：

aggregated process; ARMA process; invariance;

D O I：

10.2307/1392244

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：129 / 136

页数：8

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