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Some Consequences of Temporal Aggregation in Empirical Analysis

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  • Marcellino, Massimiliano

Abstract

The author derives the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. He then studies 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.

Suggested Citation

  • Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
    • Handle: RePEc:bes:jnlbes:v:17:y:1999:i:1:p:129-36
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