Don’t Ruin the Surprise: Temporal Aggregation Bias in Structural Innovations
An Economics Speaker Series seminar by Dr. Stephen Snudden (PhD), Wilfrid Laurier University
Date: Friday, Sept. 27
Time: 3:30–5 pm
Location: Room 217 Arts Building, 9 Campus Dr., Saskatoon
Free and open to the public
About this event
Don’t Ruin the Surprise: Temporal Aggregation Bias in Structural Innovations
By Dr. Stephen Snudden (PhD), Assistant Professor, Wilfrid Laurier University
Structural innovations estimated from temporally aggregated data (i.e., sums, averages) are shown to be biased and predictable. Selective sampling is shown to rectify this bias only under specific conditions. A statistical test for temporal aggregation bias is proposed, which reveals that over 70 percent of structural innovations can be predicted using lagged daily information. Applying this test, we find significant mistiming in the shocks to the global crude oil market and show that economic agents have already responded to the predictable component. This predictability and mistiming challenge the reliability of structural economic conclusions drawn from monthly or quarterly data.
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