Working Paper Series, Department of Economics, Copenhagen Business School
Lisbeth Funding la Cour and Anders Milhøj
Temporal aggregation in first order cointegrated vector autoregressive
Abstract: 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
Keywords: na; (follow links to similar papers)
JEL-Codes: G10; (follow links to similar papers)
36 pages, January 1, 2006
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