Some Consequences of Temporal Aggregation in Empirical Analysis
推导了当原始数据属于向量自回归移动平均类时，时间聚合后的数据生成机制，并研究了时间聚合对外生性、因果关系、协整和共同特征的影响，以加拿大利率数据为例说明。
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.