The effect of temporal aggregation on parameter estimation in distributed lag model

DOI10.1016/0304-4076(78)90032-5MaRDI QIDQ1255291zbMATH OpenOpenAlexFDO

Authors William W. S. Wei

Publication date 1978

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(78)90032-5

zbMATH Keywords

Parameter EstimationFinite Distributed Lag ModelLeast Squares ProcedureTemporal AgGregation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Aggregation over time in Macroeconomic Relations
• Effect of temporal aggregation on the dynamic relationship of two time series variables

Cited in

(5)

• An analogue model of phase-averaging procedures
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• Implications of temporal aggregation on the relation between two time series
• A spectral measure for the information loss of temporal aggregation
• Aggregation over time, error correction models and Granger causality:

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