Temporal aggregation in first order cointegrated vector autoregressive

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Temporal aggregation in first order cointegrated vector autoregressive

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dc.contributor.author Milhøj, Anders en_US
dc.contributor.author la Cour, Lisbeth Funding en_US
dc.date.accessioned 2009-02-04T10:27:50Z
dc.date.available 2009-02-04T10:27:50Z
dc.date.issued 2006-12-05T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/7605
dc.description.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. en_US
dc.format.extent 36 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2006-014 en_US
dc.title Temporal aggregation in first order cointegrated vector autoregressive en_US
dc.type wp en_US
dc.accessionstatus modt06dec05 mielmo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Økonomisk Institut en_US
dc.contributor.departmentshort ECON en_US
dc.contributor.departmentuk Department of Economics en_US
dc.contributor.departmentukshort ECON en_US
dc.idnumber x656517963 en_US
dc.publisher.city København en_US
dc.publisher.year 2006 en_US


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