Temporal aggregation in a periodically integrated autoregressive process
1996-10-30
Article
volume 30, issue 3 pp 235-240.
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A periodically integrated autoregressive process for a time series which is observed S times per year assumes the presence of S - 1 cointegration relations between the annual series containing the seasonal observations, with the additional feature that these relations are different across the seasons. This means that there is a single unit root in the vector autoregression for these annual series. In this paper it is shown that temporally aggregating such a process does not affect the presence of this unit root, i.e. the aggregated series is also periodically integrated.
Keywords
Automatically Extracted Terms
- process
- series
- vector
- aggregation
- unit root
- time series
- cointegration
- boswijk / statistics
- relation
- franse
- matrix
- n trend
- statistic
- probability
- order
- model
- letter
- cointegrating
- boswijk
- autoregressive
