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Department of Economics, Copenhagen Business School Working Paper Series, Department of Economics, Copenhagen Business School

No 14-2006:
Temporal aggregation in first order cointegrated vector autoregressive

Lisbeth Funding la Cour and Anders Milhøj

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 of gasoline.

Keywords: na; (follow links to similar papers)

JEL-Codes: G10; (follow links to similar papers)

36 pages, January 1, 2006

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