Autore
Marcellino, Massimiliano

Titolo
Temporal aggregation of a VARIMAX process
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1995 - Fascicolo: 39 - Pagina iniziale: 1 - Pagina finale: 26

We derive the generating process of temporally aggregated variables, when the original variables follow a discrete time VARIMAX process. We consider different tem poral aggregation schemes, which arelikely applied to generate the available data on m any economic variables.



Testo completo: http://hdl.handle.net/1814/564

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