Temporal Aggregation in First Order Cointegrated Vector Autoregressive

Lisbeth Funding la Cour, Anders Milhøj

Publikation: Working paperForskning

Resumé

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.
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.
SprogEngelsk
Udgivelses stedFrederiksberg
UdgiverCopenhagen Business School, CBS
Antal sider35
StatusUdgivet - 2006
NavnWorking Paper / Department of Economics. Copenhagen Business School
Nummer14-2006

Citer dette

la Cour, L. F., & Milhøj, A. (2006). Temporal Aggregation in First Order Cointegrated Vector Autoregressive. Frederiksberg: Copenhagen Business School, CBS. Working Paper / Department of Economics. Copenhagen Business School, Nr. 14-2006
la Cour, Lisbeth Funding ; Milhøj, Anders. / Temporal Aggregation in First Order Cointegrated Vector Autoregressive. Frederiksberg : Copenhagen Business School, CBS, 2006. (Working Paper / Department of Economics. Copenhagen Business School; Nr. 14-2006).
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la Cour, LF & Milhøj, A 2006 'Temporal Aggregation in First Order Cointegrated Vector Autoregressive' Copenhagen Business School, CBS, Frederiksberg.

Temporal Aggregation in First Order Cointegrated Vector Autoregressive. / la Cour, Lisbeth Funding; Milhøj, Anders.

Frederiksberg : Copenhagen Business School, CBS, 2006.

Publikation: Working paperForskning

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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.

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la Cour LF, Milhøj A. Temporal Aggregation in First Order Cointegrated Vector Autoregressive. Frederiksberg: Copenhagen Business School, CBS. 2006.