We call temporal aggregation the situation in which a variable that evolves through time can not be observed at all dates. This phenomenon arises frequently in economics, where it is very expensive to collect data on certain variables, and there is no reason to believe that economic time series are collected at the frequency required to fully capture the movements of the economy. For example, we only have quarterly observations on GNP, but it is reasonable to believe that the behavior of GNP within a quarter carries relevant information about the structure of the economy. … Temporal Aggregation