Some Consequences of Temporal Aggregation in Empirical Analysis
推导了当原始过程属于向量自回归移动平均类时，时间加总后过程的生成机制，并研究了加总对外生性、因果性、协整和共同特征的影响，用加拿大利率数据举例。
I derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues.