The effect of aggregation on nonlinearity

DOI10.1080/07474939908800445zbMATH Open1063.62605OpenAlexW1978741344MaRDI QIDQ4701043FDOQ4701043

Authors: Clive W. J. Granger, Tae-Hwy Lee 

Publication date: 1999

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939908800445

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Nonlinearity tests for time series

Cited In (7)

• Title not available (Why is that?)
• Sir Clive Granger's contributions to nonlinear time series and econometrics
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• Diagnostic checking for the adequacy of nonlinear time series models
• A spectral measure for the information loss of temporal aggregation
• Aggregation in large dynamic panels
• The effects of temporal aggregation on tests of linearity of a time series.

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