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Asymptotic Behavior of Temporal Aggregates in the Frequency Domain

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  • Hassler Uwe

    (Goethe University Frankfurt, RuW, Grueneburgplatz 1, D-60323 Frankfurt, Germany)

  • Tsai Henghsiu

    (Academia Sinica, Institute of Statistical Science, Taipei 11529, Taiwan)

Abstract

The classical aggregation result by Tiao (1972, Asymptotic Behavior of Temporal Aggregates of Time Series, Biometrika 59, 525–531) is generalized for a weak set of assumptions. The innovations driving the integrated processes are only required to be stationary with integrable spectral density. The derivation is settled in the frequency domain. In case of fractional integration, it is demonstrated that the order of integration is preserved with growing aggregation under the same set of assumptions.

Suggested Citation

  • Hassler Uwe & Tsai Henghsiu, 2013. "Asymptotic Behavior of Temporal Aggregates in the Frequency Domain," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 47-60, January.
    • Handle: RePEc:bpj:jtsmet:v:5:y:2013:i:1:p:47-60:n:4
    DOI: 10.1515/jtse-2012-0029
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    References listed on IDEAS

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    6. Javier Hidalgo, 2005. "Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole," STICERD - Econometrics Paper Series 481, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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    Cited by:

    1. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
    2. Cleiton Guollo Taufemback, 2023. "Asymptotic Behavior of Temporal Aggregation in Mixed‐Frequency Datasets," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 894-909, August.
    3. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
    4. Uwe Hassler, 2013. "Effect of temporal aggregation on multiple time series in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 562-573, September.

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