Long memory, fractional integration, and cross-sectional aggregation

DOI10.1016/J.JECONOM.2017.03.001MaRDI QIDQ2397718zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 3609018 (Why is no real title available?)
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• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
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• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Long-memory processes. Probabilistic properties and statistical methods
• On large-sample estimation for the mean of a stationary random sequence
• On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Invariance Principle for Stationary Processes
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
• When is a time-series I(0)?

Cited in

(17)

• Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Long memory and multifractality: a joint test
• Extended fractional Gaussian noise and simple ARFIMA approximations
• Long memory via networking
• Spurious multivariate regressions under fractionally integrated processes
• Why Aggregate Long Memory Time Series?
• An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
• Harmonically Weighted Processes
• Fractionally Integrated Long Horizon Regressions
• Spectral properties of temporally aggregated long memory processes
• A multivariate stochastic volatility model with generalized factor dynamics
• Varieties of long memory models
• Aggregation and long memory: recent developments
• APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
• Generating univariate fractional integration within a large VAR(1)
• Numerical simulation of fractional control system using Chebyshev polynomials

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