Estimation of fractional integration under temporal aggregation (Q737901)

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Estimation of fractional integration under temporal aggregation (English)

Journal of Econometrics

12 August 2016

long memory

difference stationarity

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cumulating time series

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skip sampling

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closedness of assumptions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2011.01.003

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cites work

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Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence

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Testing the random walk hypothesis: power versus frequency of observation

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EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

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Exact local Whittle estimation of fractional integration

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Moment bounds and central limit theorem for functions of Gaussian vectors

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Temporal Aggregation and Bandwidth selection in estimating long memory

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Why Aggregate Long Memory Time Series?

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TEMPORAL AGGREGATION IN THE ARIMA PROCESS

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Nonlinear log-periodogram regression for perturbed fractional processes

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Identifiers

zbMATH Open document ID

1441.62727

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DOI

10.1016/j.jeconom.2011.01.003

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Mathematics Subject Classification ID

Sitelinks

Mathematics(1 entry)

mardi Publication:737901