Journal of Business Cycle Measurement and Analysis

Frequency
3 times a year
ISSN: 
1729-3626 (online)
ISSN: 
1729-3618 (print)
http://dx.doi.org/10.1787/17293626
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

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Spatial and Temporal Time Series Conversion

A Consistent Estimator of the Error Variance-Covariance Matrix You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3305031ec004.pdf
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Author(s):
Massimo Gerli, Giovanni Marini
05 Apr 2006
Pages:
33
Bibliographic information
No.:
15,
Volume:
2005,
Issue:
3
Pages:
373–405
http://dx.doi.org/10.1787/jbcma-v2005-art10-en

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Spatial and Temporal Time Series Conversion - A Consistent Estimator of the Error Variance-Covariance Matrix. Abstract: We focus on the problem of time series conversion from low to high frequency satisfying the twofold temporal and spatial constraint. We offer a simple solution to variance-covariance matrix estimation of the error terms. Since the residuals of high frequency equations of the indicated indicator model are not observable, we inferred the characteristics of their stochastic process through both a specific hypothesis (VAR 1 process) and estimation of the related annual model. We derive a consistent estimator of the variance-covariance matrix and we prove that Di Fonzo's (1990) estimator based on this matrix is asymptotically equivalent to a GLS estimator.

 
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