1996-10-30
Temporal aggregation in a periodically integrated autoregressive process
Publication
Publication
Statistics & Probability Letters , Volume 30 - Issue 3 p. 235- 240
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.
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| doi.org/10.1016/0167-7152(95)00225-1, hdl.handle.net/1765/2063 | |
| Statistics & Probability Letters | |
| Organisation | Erasmus School of Economics |
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Franses, P. H., & Boswijk, P. (1996). Temporal aggregation in a periodically integrated autoregressive process. Statistics & Probability Letters, 30(3), 235–240. doi:10.1016/0167-7152(95)00225-1 |
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