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Temporal aggregation and time deformation

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  • Steven Cook

Abstract

Building upon the results of Rossana and Seater (1995) the impact of temporal aggregation on Stock's (1987) tests of time deformation is examined. Using disaggregated UK consumption data the effect of temporal aggregation is found to be substantial, masking the non-linearity present in higher frequency data

Suggested Citation

  • Steven Cook, 2001. "Temporal aggregation and time deformation," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 363-365.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:6:p:363-365
    DOI: 10.1080/135048501750237784
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    References listed on IDEAS

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    1. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
    2. Rossana, Robert J & Seater, John J, 1995. "Temporal Aggregation and Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 441-451, October.
    3. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-1261, December.
    4. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
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    Cited by:

    1. Maria Nikoloudaki & Dikaios Tserkezos, 2008. "Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results," Working Papers 0822, University of Crete, Department of Economics.
    2. Terraza Virginie & Toque Carole, 2008. "Times series Factorial models with incertitute measures on ARMA processes and its application to final data," LSF Research Working Paper Series 08-07, Luxembourg School of Finance, University of Luxembourg.

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