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Structural change and lag length in VAR models

โœ Scribed by Mark Thoma


Book ID
113722392
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
574 KB
Volume
30
Category
Article
ISSN
0164-0704

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Temporal aggregation in structural VAR m
โœ Georgoutsos, Dimitris A. ;Kouretas, Georgios P. ;Tserkezos, Dikaios E. ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 146 KB ๐Ÿ‘ 1 views

This paper examines the effects of temporal aggregation on the estimated time series properties of economic data. Theory predicts that temporal aggregation loses information about the underlying data processes. We derive low frequency, quarterly and annual, models implied by high frequency, monthly,