Effects of temporal aggregation on cointegration tests

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.
Joint Statistical Meetings (JSM) 2005


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Citation Formats
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.