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The effects of temporal aggregation on tests of linearity of a time series

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  • Teles, Paulo
  • Wei, William W. S.

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  • Teles, Paulo & Wei, William W. S., 2000. "The effects of temporal aggregation on tests of linearity of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 91-103, July.
    • Handle: RePEc:eee:csdana:v:34:y:2000:i:1:p:91-103
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    References listed on IDEAS

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    1. Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-342, November.
    2. Arnold Zellner, 1978. "Seasonal Analysis of Economic Time Series," NBER Books, National Bureau of Economic Research, Inc, number zell78-1, June.
    3. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
    4. Daniel O. Stram & William W. S. Wei, 1986. "Temporal Aggregation In The Arima Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 279-292, July.
    5. William W. S. Wei, 1978. "Some Consequences of Temporal Aggregation in Seasonal Time Series Models," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 433-448, National Bureau of Economic Research, Inc.
    6. Melvin J. Hinich, 1982. "Testing For Gaussianity And Linearity Of A Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 169-176, May.
    7. Ashley, Richard A & Patterson, Douglas M, 1989. "Linear versus Nonlinear Macroeconomies: A Statistical Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 685-704, August.
    8. Richard A. Ashley & Douglas M. Patterson & Melvin J. Hinich, 1986. "A Diagnostic Test For Nonlinear Serial Dependence In Time Series Fitting Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 165-178, May.
    9. T. Subba Rao & M. M. Gabr, 1980. "A Test For Linearity Of Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(2), pages 145-158, March.
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    Cited by:

    1. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    2. Chan, Wai-Sum & Chan, Yin-Ting, 2008. "A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 728-735, April.
    3. Wai‐Sum Chan & Li‐Xin Zhang & Siu Hung Cheung, 2009. "Temporal aggregation of Markov‐switching financial return models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 359-383, May.
    4. Roy, Roch & Saidi, Abdessamad, 2008. "Aggregation and systematic sampling of periodic ARMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4287-4304, May.
    5. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.

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