Temporal aggregation in first order cointegrated vector autoregressive models

TY - UNPB

T1 - Temporal aggregation in first order cointegrated vector autoregressive models

AU - La Cour, Lisbeth Funding

AU - Milhøj, Anders

PY - 2006

Y1 - 2006

N2 - We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline

AB - We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline

M3 - Working paper

BT - Temporal aggregation in first order cointegrated vector autoregressive models

PB - Department of Economics, Copenhagen Business School

CY - Cph.

ER -