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dc.contributor.authorJordà, Òscaren
dc.contributor.authorMarcellino, Massimilianoen
dc.date.accessioned2009-01-29T15:50:08Z-
dc.date.available2009-01-29T15:50:08Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aUniversity of California, Department of Economics |cDavis, CAen
dc.relation.ispartofseries|aWorking Paper |x03-2en
dc.subject.jelF31en
dc.subject.jelC43en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordtime aggregationen
dc.subject.keywordtime-scale transformationen
dc.subject.keywordirregularly spaced dataen
dc.subject.keywordautoregressive conditional intensity modelen
dc.subject.stwAggregationen
dc.subject.stwZeiten
dc.subject.stwTheorieen
dc.titleTime-scale transformations of discrete time processes-
dc.typeWorking Paperen
dc.identifier.ppn362923256en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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