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http://ssrn.com/abstract=253992
 
 

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Temporal Aggregation and Structural Inference in Macroeconomics


Lawrence J. Christiano


Northwestern University; Federal Reserve Bank of Cleveland; Federal Reserve Bank of Chicago; Federal Reserve Bank of Minneapolis; National Bureau of Economic Research (NBER)

Martin Eichenbaum


Northwestern University; National Bureau of Economic Research (NBER)

September 1986

NBER Working Paper No. t0060

Abstract:     
This paper examines the quantitative importance of temporal aggregation bias in distorting parameter estimates and hypothesis tests. Our strategy is to consider two empirical examples in which temporal aggregation bias has the potential to account for results which are widely viewed as being anomalous from the perspective of particular economic models. Our first example investigates the possibility that temporal aggregation bias can lead to spurious Granger causality relationships. The quantitative importance of this possibility is examined in the context of Granger causal relations between the growth rates of money and various measures of aggregate output. Our second example investigates the possibility that temporal aggregation bias can account for the slow speeds of adjustment typically obtained with stock adjustment models. The quantitative importance of this possibility is examined in the context of a particular class of continuous and discrete time equilibriurn models of inventories and sales. The different models are compared on the basis of the behavioral implications of the estimated values of the structural parameters which we obtain and their overall statistical performance. The empirical results from both examples provide support for the view that temporal aggregation bias can be quantitatively important in the sense of Significantly distorting inference.

Number of Pages in PDF File: 76

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Date posted: January 14, 2001  

Suggested Citation

Christiano, Lawrence J. and Eichenbaum, Martin, Temporal Aggregation and Structural Inference in Macroeconomics (September 1986). NBER Working Paper No. t0060. Available at SSRN: http://ssrn.com/abstract=253992

Contact Information

Lawrence J. Christiano (Contact Author)
Northwestern University ( email )
2003 Sheridan Road
Evanston, IL 60208
United States
847-491-8231 (Phone)
847-491-7001 (Fax)
Federal Reserve Bank of Cleveland
East 6th & Superior
Cleveland, OH 44101-1387
United States
Federal Reserve Bank of Chicago
230 South LaSalle Street
Chicago, IL 60604
United States
Federal Reserve Bank of Minneapolis
90 Hennepin Avenue
Minneapolis, MN 55480
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Martin Eichenbaum
Northwestern University ( email )
2003 Sheridan Road
Evanston, IL 60208
United States
847-491-8232 (Phone)
847-491-7001 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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