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Title:Time-scale transformations of discrete time processes PDF Logo
Authors:Jordà, Òscar
Marcellino, Massimiliano
Issue Date:2003
Series/Report no.:Working papers / University of California, Department of Economics 03,2
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.
Subjects:time aggregation
time-scale transformation
irregularly spaced data
autoregressive conditional intensity model
JEL:F31
C43
C22
Document Type:Working Paper
Appears in Collections:Working Papers, Department of Economics, UC Davis

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