Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
From MaRDI portal
Publication:2563108
DOI10.1016/0304-4076(73)90015-8zbMath0268.90016MaRDI QIDQ2563108
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
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, Time‐scale transformations of discrete time processes, TEMPORAL AGGREGATION IN THE ARIMA PROCESS, 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, Temporal aggregation of cyclical models with business cycle applications, Linear aggregation of vector autoregressive moving average processes, Estimation of fractional integration under 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, Random sampling of long-memory stationary processes, Extensions of the Hansen-Sargent prediction formulas to sampled and aggregated data, 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
