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dc.contributor.authorJordà, Òscaren_US
dc.contributor.authorMarcellino, Massimilianoen_US
dc.date.accessioned2009-01-29T15:50:08Z-
dc.date.available2009-01-29T15:50:08Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/23202-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesWorking papers / University of California, Department of Economics 03,2en_US
dc.subject.jelF31en_US
dc.subject.jelC43en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordtime aggregationen_US
dc.subject.keywordtime-scale transformationen_US
dc.subject.keywordirregularly spaced dataen_US
dc.subject.keywordautoregressive conditional intensity modelen_US
dc.subject.stwAggregationen_US
dc.subject.stwZeiten_US
dc.subject.stwTheorieen_US
dc.titleTime-scale transformations of discrete time processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn362923256en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Papers, Department of Economics, UC Davis

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