Temporal aggregation in a periodically integrated autoregressive process
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.
Year of publication: |
1996
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Authors: | Franses, Philip Hans ; Boswijk, H. Peter |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 3, p. 235-240
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Publisher: |
Elsevier |
Saved in:
Online Resource
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