Temporal aggregation in first order cointegrated vector autoregressive models
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Temporal aggregation in first order cointegrated vector autoregressive models. / La Cour, Lisbeth Funding; Milhøj, Anders.
Cph. : Department of Economics, Copenhagen Business School, 2006.Research output: Working paper › Research
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TY - UNPB
T1 - Temporal aggregation in first order cointegrated vector autoregressive models
AU - La Cour, Lisbeth Funding
AU - Milhøj, Anders
PY - 2006
Y1 - 2006
N2 - 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
AB - 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
M3 - Working paper
BT - Temporal aggregation in first order cointegrated vector autoregressive models
PB - Department of Economics, Copenhagen Business School
CY - Cph.
ER -
ID: 314592