Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.

DOI10.1016/S0165-1765(99)00072-5zbMath1049.62510WikidataQ127452202 ScholiaQ127452202MaRDI QIDQ1960347

Mikael Linden

Publication date: 12 January 2000

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

AggregationAR processLong memory process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Unnamed Item ⋮ Estimating aggregate autoregressive processes when only macro data are available ⋮ Herding, a-synchronous updating and heterogeneity in memory in a CBS ⋮ Time series properties of aggregated AR(2) processes ⋮ The polynomial aggregated AR(1) model*

Uses Software

• longmemo

Cites Work

• Econometric specification of stochastic discount factor models
• Long memory relationships and the aggregation of dynamic models
• Unnamed Item
• Unnamed Item

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