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Implications of temporal aggregation on the relation between two time series

✍ Scribed by G. Kirchgässner; J. Wolters

Book ID
112939286
Publisher
Springer-Verlag
Year
1992
Tongue
English
Weight
784 KB
Volume
33
Category
Article
ISSN
0932-5026

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The effects of temporal aggregation on tests of linearity of a time series
✍ Paulo Teles; William W.S Wei 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 158 KB

Time-series aggregates are often used in performing tests for departure from linearity. In this paper, we study the e ects of temporal aggregation on testing for linearity, basing our analysis on both time-and frequency-domain tests. The results show that temporal aggregation weakens nonlinearity an