Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models

DOI10.1016/0304-4076(73)90015-8zbMath0268.90016MaRDI QIDQ2563108

K. R. W. Brewer

Publication date: 1973

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(73)90015-8

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B60: Trade models

90B05: Inventory, storage, reservoirs

Related Items

RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES, On the spectrum of randomly aggregate ARMA models, The Use of Aggregate Time Series in Testing for Gaussianity, The effect of temporal aggregation on the estimation accuracy of time series models, Time‐scale transformations of discrete time processes, TEMPORAL AGGREGATION IN THE ARIMA PROCESS, The use of aggregate time series for testing conditional heteroscedasticity, The effect of temporal aggregation on the estimation accuracy of ARMA models, Testing a Unit Root Based on Aggregate Time Series, TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR, Linear regression using both temporally aggregated and temporally disaggregated data, The use of temporally aggregated data in modeling and testing a variance change in a time series, Temporal aggregation of cyclical models with business cycle applications, Linear aggregation of vector autoregressive moving average processes, Estimation of fractional integration under temporal aggregation, A spectral measure for the information loss of temporal aggregation, The invertibility of sampled and aggregated ARMA models, Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter, The construction and estimation of continuous time models and discrete approximations in econometrics, Temporal aggregation and the power of tests for a unit root, The impact of temporal aggregation on supply chains with ARMA\((1,1)\) demand processes, Continuous time ARMA processes: discrete time representation and likelihood evaluation, Asymptotic behavior of temporal aggregates in the frequency domain, Forecasting with temporal hierarchies, Random sampling of long-memory stationary processes, Extensions of the Hansen-Sargent prediction formulas to sampled and aggregated data, Temporal aggregation of random walk processes and implications for economic analysis, Insights into the appropriate level of disaggregation for efficient time series model forecasting, Trend estimation of financial time series, Effect of systematic sampling on arima models, Forecast efficiency of systematically sampled time series, Implications of temporal aggregation on the relation between two time series

Cites Work

• Unnamed Item
• Unnamed Item
• Discrete autoregressive schemes with varying time-intervals
• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• Aggregation over Time in Distributed Lag Models
• On the Analysis of First Order Autoregressive Models with Incomplete Data
• Discrete Approximations to Continuous Time Distributed Lags in Econometrics