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Journal Article

Temporal Aggregation in the Multiple Regression Model

John Geweke
Econometrica
Vol. 46, No. 3 (May, 1978), pp. 643-661
Published by: The Econometric Society
DOI: 10.2307/1914238
Stable URL: http://www.jstor.org/stable/1914238
Page Count: 19
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Temporal Aggregation in the Multiple Regression Model
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Abstract

The regression relation between regularly sampled Y(t) and X"19t),..., X"N(t) implied by an underlying model in which time enters more generally is studied. The underlying model includes continuous distributed lags, discrete models, and stochastic differential equations as special cases. The relation between parameters identified by regular samplings of Y and X"j and those of the underlying model is characterized. Sufficient conditions for identification of the underlying model in the limit as disaggregation over time proceeds are set forth. Empirical evidence presented suggests that important gains can be realized from temporal disaggregation in the range of conventional measurement frequencies for macroeconomic data.

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