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Time aggregation and skip sampling in cointegration tests

✍ Scribed by Wanhong Hu

Book ID: 112940034
Publisher: Springer-Verlag
Year: 1996
Tongue: English
Weight: 348 KB
Volume: 37
Category: Article
ISSN: 0932-5026
DOI: 10.1007/bf02926585

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## Abstract Given a structural time‐series model specified at a basic time interval, this paper deals with the problems of forecasting efficiency and estimation accuracy generated when the data are collected at a timing interval which is a multiple of the time unit chosen to build the basic model.