Long memory, fractional integration, and cross-sectional aggregation
DOI10.1016/J.JECONOM.2017.03.001zbMATH Open1452.62642OpenAlexW2281629295MaRDI QIDQ2397718FDOQ2397718
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Fractional Brownian Motions, Fractional Noises and Applications
- The Invariance Principle for Stationary Processes
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- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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- Long memory and regime switching
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- Title not available (Why is that?)
- Contemporaneous aggregation of linear dynamic models in large economies
- A FAST FRACTIONAL DIFFERENCE ALGORITHM
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Cited In (11)
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Long memory and multifractality: a joint test
- Spurious multivariate regressions under fractionally integrated processes
- Why Aggregate Long Memory Time Series?
- Harmonically Weighted Processes
- An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
- Fractionally Integrated Long Horizon Regressions
- Varieties of long memory models
- 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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