Persistence under temporal aggregation and differencing

DOI10.1016/J.ECONLET.2014.06.011MaRDI QIDQ485617zbMATH OpenOpenAlexFDO

Authors Uwe Hassler

Publication date 12 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.06.011

zbMATH Keywords

cumulatingdifference-stationarityseasonal differencesskip sampling

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• Effect of temporal aggregation on multiple time series in the frequency domain
• Estimation of fractional integration under temporal aggregation
• Spectral properties of temporally aggregated long memory processes
• Aggregation of the generalized fractional processes
• Implications of temporal aggregation on the relation between two time series

Cites work

• Are output fluctuations transitory?
• Asymptotic behavior of temporal aggregates in the frequency domain
• Asymptotic behaviour of temporal aggregates of time series
• Estimation of fractional integration under temporal aggregation
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Introduction to modern time series analysis.
• Note on the Correlation of First Differences of Averages in a Random Chain
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes

Cited in

(3)

• The effects of temporal aggregation on tests of linearity of a time series.
• Effect of temporal aggregation on multiple time series in the frequency domain
• Temporal aggregation in a multi-sector economy with endogenous growth

This page was built for publication: Persistence under temporal aggregation and differencing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q485617)