Implications of temporal aggregation on the relation between two time series

DOI10.1007/BF02925307zbMath0741.62084OpenAlexW1978553091MaRDI QIDQ3990732

Jürgen Wolters, Gebhard Kirchgaessner

Publication date: 28 June 1992

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02925307

zbMATH Keywords

cointegrationaveragestemporal aggregationGranger-causality testsend-of-period data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Measure-invariance of copula functions as tool for testing no-arbitrage assumption

Cites Work

• Unnamed Item
• Causality in temporal systems. Characterizations and a Survey
• The effect of temporal aggregation on parameter estimation in distributed lag model
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Note on the Correlation of First Differences of Averages in a Random Chain
• Aggregation over Time in Distributed Lag Models
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Discrete Approximations to Continuous Time Distributed Lags in Econometrics
• Asymptotic behaviour of temporal aggregates of time series

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