Note on the Correlation of First Differences of Averages in a Random Chain¶
Working, H. (1960). Note on the Correlation of First Differences of Averages in a Random Chain. Econometrica, 28(4), 916-918.
Cited by¶
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Primes¶
- Partition Dependence of Aggregates
- In time-series and macroeconomics, the choice of accounting period (quarterly versus annual, fiscal versus calendar) changes apparent volatility, growth rates, and regression significance.
This sourceShows that time-averaging (the choice of accounting period) systematically alters the serial-correlation and apparent-volatility properties of a series — the temporal-aggregation instance. Resolves needs-source-453; author, title, venue, volume, pages confirmed.
- In time-series and macroeconomics, the choice of accounting period (quarterly versus annual, fiscal versus calendar) changes apparent volatility, growth rates, and regression significance.
Verification¶
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Registry ID ref:f64e45925023 · see in the full table