@techreport{Jorda2003Time,
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 is 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.},
author = {\`{O}scar Jord\`{a} and Massimiliano Marcellino},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {F31; C43; C22; 330; time aggregation; time-scale transformation; irregularly spaced data; autoregressive conditional intensity model; Aggregation; Zeit; Theorie},
language = {eng},
number = {03,2},
title = {Time-scale transformations of discrete time processes},
type = {Working papers / University of California, Department of Economics},
url = {http://hdl.handle.net/10419/23202},
year = {2003}
}
