Some consequences of temporal aggregation in empirical analysis

Authors
Citation
M. Marcellino, Some consequences of temporal aggregation in empirical analysis, J BUS ECON, 17(1), 1999, pp. 129-136
Citations number
62
Categorie Soggetti
Economics
Journal title
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
ISSN journal
07350015 → ACNP
Volume
17
Issue
1
Year of publication
1999
Pages
129 - 136
Database
ISI
SICI code
0735-0015(199901)17:1<129:SCOTAI>2.0.ZU;2-I
Abstract
I derive the generating mechanism of a temporally aggregated process when t he disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on a set o f characteristics of usual interest such as exogeneity, causality, cointegr ation, and common features. An empirical example with Canadian interest rat es illustrates the main issues.