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,
β¦ LIBER β¦
Temporal aggregation and structural inference in macroeconomics a comment
β Scribed by James H. Stock]
- Book ID
- 116105270
- Publisher
- Elsevier Science
- Year
- 1987
- Weight
- 405 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0167-2231
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