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Title:On the effects of aggregating cointegrated variables over time PDF Logo
Authors:Müller, Christian
Issue Date:2002
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,9
Abstract:It has long been recognized that aggregating time series introduces correlation between consecutive values of the aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables assuming that the data generating process involves two integrated variables linked by a specific error correction mechanism (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data generating process will change considerably. Cointegration tests become invalid in a single equation framework but system cointegration analysis seems to be robust against various aggregation strategies.
time series
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10048583
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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