Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192519 
Year of Publication: 
2008
Series/Report no.: 
Discussion Papers No. 537
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
Differences in estimated parameters depending on the frequency of aggregate data have been reported in several fields of economic research. Some differences are due to seasonal variations in demand, but temporal aggregation bias is reported even in seasonally adjusted models. These biases have been explained by time-nonseparable preferences and excluded dynamic components. We show that it is possible to observe temporal aggregation bias in a seasonally adjusted static model even when preferences are time-separable. This is because of changes in the distribution of exogenous factors describing the variation in seasonal demand across consumers. To show this, we develop a method for aggregation based on an Almost Ideal Demand System, where demand response varies across both consumers and time
Subjects: 
Temporal aggregation
Consumer demand
Heterogeneity
JEL: 
C43
D1
Document Type: 
Working Paper

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