Temporal aggregation in first order cointegrated vector autoregressive models

MaRDI QIDQ2906778zbMATH OpenFDO

Authors Lisbeth Funding La Cour, Anders Milhøj

Publication date 5 September 2012

Published in Advances and Applications in Statistical Sciences (Search for Journal in Brave)

zbMATH Keywords

alpha-matrixGasolin pricesspeed of adjustment

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• Effect of temporal aggregation on multiple time series in the frequency domain
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• Temporal aggregation in a periodically integrated autoregressive process
• Temporal aggregation and spurious instantaneous causality in multiple time series models

Cited in

(3)

• Temporal aggregation in a periodically integrated autoregressive process
• Temporal aggregation of cyclical models with business cycle applications
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY

This page was built for publication: Temporal aggregation in first order cointegrated vector autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2906778)