Long memory, fractional integration, and cross-sectional aggregation

DOI10.1016/j.jeconom.2017.03.001zbMath1452.62642OpenAlexW2281629295MaRDI QIDQ2397718

Niels Haldrup, J. Eduardo Vera Valdés

Publication date: 23 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/136054519/Haldrup_2017_Long_memory_fractional_integration_and_cross_sectional_aggregation.pdf

zbMATH Keywords

aggregationfractional integrationlong memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Harmonically Weighted Processes ⋮ Numerical simulation of fractional control system using Chebyshev polynomials ⋮ Generating univariate fractional integration within a large VAR(1) ⋮ An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost

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