Autore: Marcellino, Massimiliano
Titolo: Some consequences of temporal aggregation of a VARIMA process
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1995 - Fascicolo: 40 - Pagina iniziale: 1 - Pagina finale: 42

We study the effects of temporal aggregation on particular characteristics of the variables such as the presence of cointegration and serial correlation common features, or the possibility of adopting a conditional model for estimation, forecasting and policy analysis. An empirical example illustrates the main issues.


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Testo completo: http://hdl.handle.net/1814/565

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