Narrow search
Showing 1 - 10 of 7,254
Cover Image
The Role of Heterogeneous Demand for Temporal and Structural Aggregation Bias
Halvorsen, Bente; Larsen, Bodil M. - Statistisk Sentralbyrå, Government of Norway - 2008
Differences in estimated parameters depending on the frequency of aggregate data have been reported in several fields of economic research. Some differences are due to seasonal variations in demand, but temporal aggregation bias is reported even in seasonally adjusted models. These biases have...
Persistent link: https://www.econbiz.de/10004980792
Cover Image
Aggregation with price variation and heterogeneity across consumers
Halvorsen, Bente; Larsen, Bodil M. - 2006
In the aggregation literature, prices and price and income derivatives are often assumed not to vary across consumers. These assumptions may not be fulfilled: prices often vary and consumers are heterogeneous in the way they respond to price and income changes. In this paper we develop and...
Persistent link: https://www.econbiz.de/10011968259
Cover Image
Chapter 68 Models of Aggregate Economic Relationships that Account for Heterogeneity
Blundell, Richard; Stoker, Thomas M. - In: Handbook of econometrics : volume 6A, (pp. 4609-4666). 2007
, consumption growth and wealth, and labor participation and wages. Each area involves treatment of heterogeneity and nonlinearity … at the individual level. Three types of heterogeneity are highlighted: heterogeneity in individual tastes, heterogeneity … in income and wealth risks, and heterogeneity in market participation. Work in each area is illustrated using results …
Persistent link: https://www.econbiz.de/10014024947
Cover Image
Aggregation with price variation and heterogeneity across consumers
Halvorsen, Bente; Larsen, Bodil M. - Statistisk Sentralbyrå, Government of Norway - 2006
In the aggregation literature, prices and price and income derivatives are often assumed not to vary across consumers. These assumptions may not be fulfilled: prices often vary and consumers are heterogeneous in the way they respond to price and income changes. In this paper we develop and...
Persistent link: https://www.econbiz.de/10004980777
Cover Image
Temporal aggregation and causality in multiple time series models
Breitung, Jörg; Swanson, Norman Rasmus - 1998
In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...
Persistent link: https://www.econbiz.de/10010309900
Cover Image
Mixed Frequency Structural Models: Estimation, and Policy Analysis
Foroni, Claudia; Marcellino, Massimiliano - 2013
In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems, introduces estimation bias and distorts the results of...
Persistent link: https://www.econbiz.de/10012143827
Cover Image
Mixed Frequency Structural VARs
Foroni, Claudia; Marcellino, Massimiliano - 2014
A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a...
Persistent link: https://www.econbiz.de/10012143839
Cover Image
Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds through Optimization Techniques - Some Empirical and Monte Carlo Results
Tserkezos, Dikaios; Xanthos, George - Department of Economics, University of Crete - 2007
In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated...
Persistent link: https://www.econbiz.de/10004994364
Cover Image
Testing for Seasonal Unit Roots with Temporally Aggregated Time Series
Rotger, Gabriel Pons - School of Economics and Management, University of Aarhus
The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated...
Persistent link: https://www.econbiz.de/10005198789
Cover Image
Temporal aggregaton of univariate linear time series models
Andrea, SILVESTRINI - Institut de Recherche Économique et Sociale (IRES), … - 2005
In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...
Persistent link: https://www.econbiz.de/10004984769