|
EconStor >
University of California (UC) >
UC Davis, Department of Economics >
Working Papers, Department of Economics, UC Davis >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/23202
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Jordà, Òscar | | en_US |
| dc.contributor.author | | Marcellino, Massimiliano | | en_US |
| dc.date.accessioned | | 2009-01-29T15:50:08Z | | - |
| dc.date.available | | 2009-01-29T15:50:08Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/23202 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Working papers / University of California, Department of Economics 03,2 | | en_US |
| dc.subject.jel | | F31 | | en_US |
| dc.subject.jel | | C43 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | time aggregation | | en_US |
| dc.subject.keyword | | time-scale transformation | | en_US |
| dc.subject.keyword | | irregularly spaced data | | en_US |
| dc.subject.keyword | | autoregressive conditional intensity model | | en_US |
| dc.subject.stw | | Aggregation | | en_US |
| dc.subject.stw | | Zeit | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Time-scale transformations of discrete time processes | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 362923256 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Working Papers, Department of Economics, UC Davis
|
| Files in This Item:
| |
| File |
Description |
Size | Format |
| 03-2.pdf | | 372.66 kB | Adobe PDF |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|