Arbeitspapier
Temporal aggregation in first order cointegrated vector autoregressive
We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline.
- Language
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Englisch
- Bibliographic citation
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Series: Working paper ; No. 14-2006
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
- Event
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Geistige Schöpfung
- (who)
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la Cour, Lisbeth Funding
Milhøj, Anders
- Event
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Veröffentlichung
- (who)
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Copenhagen Business School (CBS), Department of Economics
- (where)
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Frederiksberg
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- la Cour, Lisbeth Funding
- Milhøj, Anders
- Copenhagen Business School (CBS), Department of Economics
Time of origin
- 2006
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