Title of article :
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence
Author/Authors :
Granger، نويسنده , , C.W.J. and Siklos، نويسنده , , Pierre L.، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 1995
Pages :
13
From page :
357
To page :
369
Abstract :
We consider in this paper the theoretical possibility that a unit root at the zero frequency can arise because of temporal aggregation of series which, in fact, possess a unit root possibly at some seasonal frequency. Thus, the long-run component of a time series can be misinterpreted. Similarly, a finding of cointegration at the zero frequency could arise between a series which has a unit root at the zero frequency and another with a unit root at another frequency. Empirical evidence using an international macroeconomic data set is presented which suggests that the above theoretical results have some practical validity.
Keywords :
Aggregation , Cointegration , seasonal unit roots
Journal title :
Journal of Econometrics
Serial Year :
1995
Journal title :
Journal of Econometrics
Record number :
1556482
Link To Document :
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