The effect of temporal aggregation on parameter estimation in distributed lag model

DOI10.1016/0304-4076(78)90032-5zbMath0401.62088OpenAlexW2009951810MaRDI QIDQ1255291

William W. S. Wei

Publication date: 1978

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90032-5

zbMATH Keywords

Parameter EstimationFinite Distributed Lag ModelLeast Squares ProcedureTemporal AgGregation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (5)

Implications of temporal aggregation on the relation between two time series ⋮ The use of temporally aggregated data in modeling and testing a variance change in a time series ⋮ Aggregation over time, error correction models and Granger causality: ⋮ An analogue model of phase-averaging procedures ⋮ A spectral measure for the information loss of temporal aggregation

Cites Work

• Aggregation over time in Macroeconomic Relations
• Effect of temporal aggregation on the dynamic relationship of two time series variables
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