The effect of aggregation on nonlinearity

DOI10.1080/07474939908800445MaRDI QIDQ4701043zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

• The effects of temporal aggregation on tests of linearity of a time series.
• Aggregation in large dynamic panels
• A spectral measure for the information loss of temporal aggregation
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• scientific article; zbMATH DE number 880260 (Why is no real title available?)
• Sir Clive Granger's contributions to nonlinear time series and econometrics
• Diagnostic checking for the adequacy of nonlinear time series models

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