Friday, July 4, 2014

The Econometrics of Temporal Aggregation - I

Yesterday, I gave the A. W. H. Phillips Memorial Lecture at the 55th Conference of the New Zealand Association of Economists. The conference was held at Auckland University of Technology in New Zealand, and it was a great success.

More on the conference itself in a subsequent post.

Meantime, you can find the slides for (a slightly extended version of) my address here, and an extended bibliography for the talk here.

In some posts that will follow I'll elaborate on some of the main messages that should be drawn from what I had to say at the conference.


© 2014, David E. Giles

4 comments:

  1. Dear Professor, We would also like to hear about the econometric of temporal dis-aggregation. How to convert the annual time series to quarterly or monthly data and validity for such study. Thank you.

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    1. Samir - I can certainly write something about that. Thanks for the suggestion.

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  2. Interpolating annual data will definitely bias the causality from other time series (of high frequency) to itself. What about the other direction, from interpolated data to other time series, will causality preserve?

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    1. See http://davegiles.blogspot.ca/2014/07/the-econometrics-of-temporal_16.html

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