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Erschienen in:
1987 | OriginalPaper | Buchkapitel
Temporal Aggregation of Stock Variables — Systematically Missing Observations
verfasst von : Prof.Dr. Helmut Lütkepohl
Erschienen in: Forecasting Aggregated Vector ARMA Processes
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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The subject of this chapter is temporal aggregation of stock variables where the aggregate consists of every m-th variable (or vector of variables) of the original, full process. In other words, forecasting time series with systematically (or periodically) missing observations will be discussed. Treating this special form of aggregation separately is useful in order to demonstrate the implications of the general results of the previous chapter for this special case.