Time series properties of aggregated AR(2) processes

DOI10.1016/S0165-1765(01)00504-3zbMath1001.91089OpenAlexW2130252687MaRDI QIDQ5958410

Terence Tai-Leung Chong, Kwan-to Wong

Publication date: 3 March 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00504-3

zbMATH Keywords

aggregationpolar formlong memory

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

The polynomial aggregated AR(1) model*

Cites Work

• Long memory relationships and the aggregation of dynamic models
• Estimating the fractionally integrated process in the presence of measurement errors
• Estimating the differencing parameter via the partial autocorrelation function
• Long memory processes and fractional integration in econometrics
• Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.

This page was built for publication: Time series properties of aggregated AR(2) processes