The DOI matches its Crossref record; 44 of the 44 references it cites were found in a registry or an index.
Some Consequences of Temporal Aggregation in Empirical Analysis
Abstract
I derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Filders, R. (1992) · International Journal of Forecasting · doi:10.1016/0169-2070(92)90130-2 · Cited by 16,165
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
Breitung, J., & Hamilton, J. D. (1995) · Contemporary Sociology · doi:10.2307/2076916 · Cited by 10,966
Hamilton, J. D. (1994) · Princeton University Press eBooks · doi:10.1515/9780691218632 · Cited by 7,293
Journal of The American Statistical Association
Fienberg, S. E. (2005) · Encyclopedia of Statistical Sciences · doi:10.1002/0471667196.ess1317 · Cited by 6,125
Econometric policy evaluation: A critique
Lucas, R. E. (1976) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/s0167-2231(76)80003-6 · Cited by 6,110
Booth, D. E. (1997) · Technometrics · doi:10.1080/00401706.1997.10485448 · Cited by 3,201
Some recent development in a concept of causality
Granger, C. W. J. (1988) · Journal of Econometrics · doi:10.1016/0304-4076(88)90045-0 · Cited by 2,945
Metadata
- Authors
- Marcellino, M.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1999-01
- Volume
- 17
- Issue
- 1
- Pages
- 129-136
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W1977481888
- Cited by
- 270
- References
- 44
- FWCI
- 13.15
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
