Effect of temporal aggregation on the dynamic relationship of two time series variables
BiometrikaPublished 1 January 1976
George C. Tiao, Wei Wu
Citations103
SJR quartileQ1
SJR score3.60
SNIP2.67
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Abstract
This paper considers the effect of temporal aggregation on the dynamic relationships between two discrete time series variables. Given the model in terms of some basic time unit, the corresponding model for the aggregates is obtained. Examples are given showing that temporal aggregation can lead to a substantial loss in parameter estimation while the loss in prediction efficiency is much less severe.
Keywords
MathematicsEconomics, Econometrics and FinancePhysics and Astronomy
The Theory of Matrices
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