Structural time series models and aggregation: some analytical results


Correspondence to: Bureau d’Économie Théorique et Appliquée (BETA), Université de Strasbourg, 61 Avenue de la Fôret Noire, 67085 Strasbourg Cedex, France.


This paper derives the analytical relationships between structural and reduced form parameters of the local linear trend model with correlated shocks. The results are also valid in the context of temporal aggregation of local level and local linear trend models with their corresponding ARIMA(0, 1, 1) and ARIMA(0, 2, 2) reduced forms.