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| Author: | Levy, H. Guttman, I. Tkatch, I. |
| Title: | Regression, Correlation, and the Time Interval: Additive- Multiplicative Framework |
| Journal: | Management Science
2001 : AUG, VOL. 47:8, p. 1150-1159 |
| Index terms: | REGRESSION ANALYSIS QUANTITATIVE TECHNIQUES TIME |
| Language: | eng |
| Abstract: | When two random variables are both additive or period to subperiods (time intervals) is well documented in the literature. In this paper, the authors investigate the time interval effect when one of the variables is additive and one is multiplicative. The authors prove that the squared multiperiod correlation coefficient decreases monotonically as n increases, and approaches zero when n goes to infinity The effect on the regression coefficient is much more dramatic and even a shift from weekly data to quarterly data affects the regression coefficient substantially The regression slope generally approaches zero, minus infinity or plus infinity, as the number of periods increases. Montonicity, however, exists only in certain cases. |
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