Template-Type: ReDIF-Paper 1.0
Author-Name: Oscar Jorda
Author-Name-First: Oscar
Author-Name-Last: Jorda
Author-Name: Massimiliano Marcellino
Author-Name-First: Massimiliano
Author-Name-Last: Marcellino
Author-Workplace-Name: Department of Economics, University of California Davis
Title: Time-Scale Transformations of Discrete-Time Processes
Abstract: This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A variable aggregation frequency implies that the aggregated process will exhibit time-varying parameters and non-spherical disturbances, even when these characteristics are absent from the original model. Consequently, we develop methods for specification and estimation of the aggregate models and show with an example how these methods perform in practice.
Length: 29
File-URL: https://repec.dss.ucdavis.edu/files/WZf1AJDc6Lo417QiWWmiPASM/03-2.pdf
File-Format: application/pdf
Number: 65
Classification-JEL: C22, C43, F31
KeyWords: time aggregation, time-scale transformation, irregularly spaced data, autoregressive conditional intensity model.
Creation-Date: 20030223
Handle: RePEc:cda:wpaper:65