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Effects of temporal aggregation on cointegration tests
Date
2005-08-01
Author
Yozgatlıgil, Ceylan
Metadata
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In time series analysis, data are often available in the form of temporal aggregation or systematical sampling, and they are routinely used to test cointegration of nonstationary variables. We first derive the vector error correction representation of vector autoregressive moving average model for aggregate variables. It is known that the cointegration is unchanged under temporal aggregation for stock variables. We proved the cointegration also remains unchanged under temporal aggregation for flow variables. We examine trace and maximal eigenvalue tests and investigate the effects of temporal aggregation on these tests. We introduce a modified statistic to test cointegration for aggregate series and derive the proper critical values of this test.
Subject Keywords
Cointegration
,
Temporal aggregation
,
Vector autoregressive moving average processes
,
Trace test
,
Maximal eigenvalue test
URI
https://hdl.handle.net/11511/86984
https://ww2.amstat.org/meetings/jsm/2005/onlineprogram/index.cfm?fuseaction=abstract_details&abstractid=304054
Conference Name
Joint Statistical Meetings (JSM) 2005
Collections
Department of Statistics, Conference / Seminar
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C. Yozgatlıgil, “Effects of temporal aggregation on cointegration tests,” presented at the Joint Statistical Meetings (JSM) 2005, Minneapolis, USA, 2005, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/86984.