Effects of temporal aggregation on cointegration tests

Date

2005-08-01

Author

Yozgatlıgil, Ceylan

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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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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.