Geweke, J. 1978, 'The Revision of Seasonally Adjusted Time Series' in 1978 Proceedings of the Business and Economic Statistics Section - American Statistical Association, pp. 320-325.
Geweke, J. 1978, 'The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series' in Zellner, A. (ed), Seasonal Analysis of Economic Time Series, Government Printing Office, Washington, US, pp. 411-432.
Abstract: Procedures for the optimal seasonal adjustment of economic time series and their aggregation are derived, given a criterion suitable for the adjustment of the data used in political or journalistic contexts. It is shown that data should be adjusted jointly and then temporally or sectorally aggregated, as desired, a procedure that preserves linear aggregation identities. Examination of actual economic time series indicates that the optimal seasonal adjustment and aggregation of data provide a substantial improvement in the quality of sectorally disaggregated, adjusted data and considerably reduces the required subsequent revision of current adjusted series.
Abstract: The regression relation between regularly sampled Y(t) and X"1(t),..., X"N(t) implied by an underlying model in which time enters more generally is studied. The underlying model includes continuous distributed lags, discrete models, and stochastic differential equations as special cases. The relation between parameters identified by regular samplings of Y and X"j and those of the underlying model is characterized. Sufficient conditions for identification of the underlying model in the limit as disaggregation over time proceeds are set forth. Empirical evidence presented suggests that important gains can be realized from temporal disaggregation in the range of conventional measurement frequencies for macroeconomic data.
Geweke, J 1978, 'Testing the Exogeneity Specification in the Complete Dynamic Simultaneous Equation Model', Journal of Econometrics, vol. 7, no. 2, pp. 163-185.
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Abstract: It is shown that in the complete dynamic simultaneous equation model exogenous variables cause endogenous variables in the sense of Granger (1969) and satisfy the criterion of econometric exogeneity discussed by Sims (1977a), but that the stationarity assumptions invoked by Granger and Sims are not necessary for this implication. Inference procedures for testing each implication are presented and a new joint test of both implications is derived. Detailed attention is given to estimation and testing when the error vector of the final form of the complete dynamic simultaneous equation model is both singular and serially correlated. The theoretical points of the paper are illustrated by testing the exogeneity specification in a small macroeconometric model.