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Structural time series models and aggregation: some analytical results
Author(s) -
Sbrana Giacomo
Publication year - 2011
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2010.00701.x
Subject(s) - autoregressive integrated moving average , mathematics , series (stratigraphy) , context (archaeology) , econometrics , time series , linear model , statistical physics , statistics , geography , paleontology , physics , archaeology , biology
This paper derives the analytical relationships between structural and reduced form parameters of the local linear trend model with correlated shocks. The results are also valid in the context of temporal aggregation of local level and local linear trend models with their corresponding ARIMA(0, 1, 1) and ARIMA(0, 2, 2) reduced forms.