On the Choice of the Unit Period in Time Series Models
University of Hawaii Economic Research Organization
June 22, 2010
When estimating the parameters of a process, researchers have to choose a reference unit of time (unit period). If the unit period is set equal to the sampling interval, then the parameter estimates will not necessarily be comparable across data sets with different sampling frequencies. However, if the unit period is standardized (for example annualized) across these data sets, then the parameters will represent the same attributes of the underlying process, and their interpretation will be independent of the sampling frequency.
Number of Pages in PDF File: 8
Keywords: Sampling Frequency, Bias, Time Series
JEL Classification: C13, C22, C51, C82working papers series
Date posted: June 23, 2010
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