Temporal aggregation of cyclical models with business cycle applications

DOI10.1007/S10260-011-0181-0MaRDI QIDQ257475zbMATH OpenOpenAlexFDO

Authors Giacomo Sbrana, Andrea Silvestrini

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-011-0181-0

zbMATH Keywords

aggregationARIMA modelsbusiness cyclecyclical models

Mathematics Subject Classification ID

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

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Cites work

• Aggregation and Disaggregation of Structural Time Series Models
• Estimation of fractional integration under temporal aggregation
• Hyper-spherical and elliptical stochastic cycles
• Methods for applied macroeconomic research.
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Structural time series models and aggregation: some analytical results
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• The Effect of Aggregation on Prediction in the Autoregressive Model

Cited in

(1)

• On Temporal Aggregation of Linear Dynamic Models

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