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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working paper ; No. 14-2006
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
la Cour, Lisbeth Funding
Milhøj, Anders
- Ereignis
-
Veröffentlichung
- (wer)
-
Copenhagen Business School (CBS), Department of Economics
- (wo)
-
Frederiksberg
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- la Cour, Lisbeth Funding
- Milhøj, Anders
- Copenhagen Business School (CBS), Department of Economics
Entstanden
- 2006
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