Note on the Correlation of First Differences of Averages in a Random Chain
From MaRDI portal
Publication:3265223
DOI10.2307/1907574zbMath0090.37102OpenAlexW4230687924WikidataQ56143665 ScholiaQ56143665MaRDI QIDQ3265223
Publication date: 1960
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1907574
Related Items (23)
Granger causality and the sampling of economic processes ⋮ Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series ⋮ Comments on testing economic theories and the use of model selection criteria ⋮ Consumption and the credit market ⋮ Testing for unit roots in flow data sampled at different frequencies ⋮ Implications of temporal aggregation on the relation between two time series ⋮ Continuous time autoregressive models with common stochastic trends ⋮ Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data ⋮ Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices ⋮ JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS ⋮ In search of lost time aggregation ⋮ Consumption adjustment to real interest rates: Intertemporal substitution revisited ⋮ DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES ⋮ Time-aggregated information and stock price volatility ⋮ Asymptotic behavior of temporal aggregates in the frequency domain ⋮ Temporal aggregation of random walk processes and implications for economic analysis ⋮ TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR ⋮ Persistence under temporal aggregation and differencing ⋮ Consistent high-frequency calibration ⋮ An analogue model of phase-averaging procedures ⋮ The estimation of continuous time models with mixed frequency data ⋮ An econometric analysis of nonsynchronous trading ⋮ Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies
This page was built for publication: Note on the Correlation of First Differences of Averages in a Random Chain