Estimation of fractional integration under temporal aggregation

DOI10.1016/j.jeconom.2011.01.003zbMath1441.62727OpenAlexW2072026593MaRDI QIDQ737901

Uwe Hassler

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.01.003

zbMATH Keywords

long memorydifference stationarityskip samplingclosedness of assumptionscumulating time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Asymptotic behavior of temporal aggregates in the frequency domain ⋮ A test of the long memory hypothesis based on self-similarity ⋮ Aggregation of the generalized fractional processes ⋮ Persistence under temporal aggregation and differencing ⋮ Effect of temporal aggregation on multiple time series in the frequency domain ⋮ Temporal aggregation of cyclical models with business cycle applications

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