By Bert G. Hickman
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Additional info for Econometric models of cyclical behavior;: [proceedings]
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The f theory of business logical problem of lag structure of d In "An Econ and Geoffrey Mo and estimate a n elements of the point out that the' elements in Arthi International Enc this is by no mea present is a simp model contains 2C As mentionec hoped that the ne simulations to be The existing larg emphasized in the by Burns, Mitche hypotheses incori different from tho in some cases ma of simulating well studies_-timing, a INTRODUCTION AND SUMMARY ex post to the long-run a series of shortar cyclical peaks nomic Research.
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The paper by Robert Engle and Ta-Chung Liu is an important attack on this highly technical and intractable problem. Their basic approach is to assume that a given model with a particular time unit—in the empirical application, Liu's monthly model—is the true one, and then to investigate the biases that may result from aggregating the observations into longer time-periods. Unfortunately, there are several different effects working in different directions; the net result depends on the time structure of the exognous variables and cannot readily be generalized.