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Temporal aggregation of seasonally near-integrated processes

del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Temporal aggregation of seasonally near-integrated processes. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

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Abstract

We investigate the implications that temporally aggregating, either by average sampling or systematic (skip) sampling, a seasonal process has on the integration properties of the resulting series at both the zero and seasonal frequencies. Our results extend the existing literature in three ways. First, they demonstrate the implications of temporal aggregation for a general sea- sonally integrated process with S seasons. Second, rather than only considering the aggregation of seasonal processes with exact unit roots at some or all of the zero and seasonal frequen- cies, we consider the case where these roots are local-to-unity such that the original series is near-integrated at some or all of the zero and seasonal frequencies. These results show, among other things, that systematic sampling, although not average sampling, can impact on the non- seasonal unit root properties of the data; for example, even where an exact zero frequency unit root holds in the original data it need not necessarily hold in the systematically sampled data. Moreover, the systematically sampled data could be near-integrated at the zero frequency even where the original data is not. Third, the implications of aggregation on the deterministic kernel of the series are explored.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 22 Jan 2019 20:23
Last Modified: 22 Jan 2019 20:23
URI: http://repository.essex.ac.uk/id/eprint/23878

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