By Bert G. Hickman
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Additional info for Econometric models of cyclical behavior;: [proceedings]
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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.