207387

Horizontal and vertical Aggregation Bias of time series with empirical study

Article

Last updated: 04 Jan 2025

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Tags

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Abstract

Aggregation bias is defined (Theil 1954) as the difference between the macro parameter and the average of the micro parameters. In this article, a new definition of time series aggregation is introduced. Imperially, a new definition of aggregation bias is introduced. Using the new definition, the time series are aggregated in two different methods, horizontal and vertical. Bias resulting from this aggregation is analyzed in both cases. Horizontal aggregation revealed unbiasedness in the slope and intercept of the trend of the series. Vertical aggregation revealed bias in estimating both parameters of the trend of the series depending on the length of the aggregation period. A new theorem "Samar theorem" is introduced to assess bias in both parameters. Proof of the Samar theorem is annexed to the paper. An Empirical study containing data of a number of time series are analyzed in the frame of the new theorem. The data is the weekly income of some Egyptian farmers working on the same farm collected through an Egyptian agrarian year. Samar theorem introduce rules to compute bias in the slope and the intercept of the trend of the series. It also shows the relation between the two biases. In addition, the effect of the length of aggregation period on the amount of bias is discussed.

DOI

10.21608/cfdj.2021.207387

Keywords

Aggregation bias, Egyptian agrarian year¸ Trend, Samar theorem

Authors

First Name

سمر أحمد حلمي عبد الغني

Last Name

عبد الغني

MiddleName

-

Affiliation

قسم الاحصاء والرياضيات والتامين کلية التجارة جامعة بورسعيد

Email

blue_arkedia@hotmail.com

City

بورسعيد

Orcid

0000-0000-1950-7808

Volume

3

Article Issue

1

Related Issue

29193

Issue Date

2022-01-01

Receive Date

2021-04-09

Publish Date

2022-01-01

Page Start

397

Page End

428

Print ISSN

2682-3403

Online ISSN

2682-4531

Link

https://cfdj.journals.ekb.eg/article_207387.html

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https://cfdj.journals.ekb.eg/service?article_code=207387

Order

12

Type

المقالة الأصلية

Type Code

1,242

Publication Type

Journal

Publication Title

المجلة العلمية للدراسات والبحوث المالية والتجارية

Publication Link

https://cfdj.journals.ekb.eg/

MainTitle

Horizontal and vertical Aggregation Bias of time series with empirical study

Details

Type

Article

Created At

22 Jan 2023