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Time‐scale transformations of discrete time processes

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  • Òscar Jordà
  • Massimiliano Marcellino

Abstract

. This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well‐known results on fixed‐interval aggregation, such as when monthly data are aggregated into quarters. A variable aggregation frequency implies that the aggregated process will exhibit time‐varying parameters and non‐spherical disturbances, even when these characteristics are absent from the original model. Consequently, we develop methods for specification and estimation of the aggregate models and show with an example how these methods perform in practice.

Suggested Citation

  • Òscar Jordà & Massimiliano Marcellino, 2004. "Time‐scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:6:p:873-894
    DOI: 10.1111/j.1467-9892.2004.00383.x
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    References listed on IDEAS

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    Cited by:

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    2. Shigeru Fujita & Garey Ramey, 2006. "The cyclicality of job loss and hiring," Working Papers 06-17, Federal Reserve Bank of Philadelphia.
    3. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Robert Kunst & Philip Franses, 2015. "Asymmetric time aggregation and its potential benefits for forecasting annual data," Empirical Economics, Springer, vol. 49(1), pages 363-387, August.

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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