کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5059199 | 1371777 | 2014 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Persistence under temporal aggregation and differencing
ترجمه فارسی عنوان
استقامت در تجمع و تنوع زمانی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
- Cumulating
- Skip sampling
- Difference-stationarity
- Seasonal differencing
- Temporal aggregation
Temporal aggregation is known to affect the persistence of time series. We study the aggregation of flow variables as well as stock data, and difference-stationarity is allowed for. Moreover, moving averages encountered when computing annual growth rates (seasonal differences) are investigated. Using a relative persistence measure (long-run variance ratio), it is clarified when persistence is increased or decreased, and by how much. Our results are exact for a finite aggregation level. They are illustrated with monthly time series. Approximate results for the growing aggregation level are provided, too.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 124, Issue 2, August 2014, Pages 318-322
Journal: Economics Letters - Volume 124, Issue 2, August 2014, Pages 318-322
نویسندگان
Uwe Hassler,