Estimation of fractional integration under temporal aggregation

DOI10.1016/J.JECONOM.2011.01.003MaRDI QIDQ737901zbMATH OpenOpenAlexFDO

Authors 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

closedness of assumptionscumulating time seriesdifference stationaritylong memoryskip sampling

Mathematics Subject Classification ID

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

Recommendations

• Asymptotic behavior of temporal aggregates in the frequency domain
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Aggregation of the generalized fractional processes
• Temporal aggregation of seasonally near-integrated processes
• Temporal Aggregation and Bandwidth selection in estimating long memory

Cites work

• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• A k-Factor GARMA Long-memory Model
• A parametric bootstrap test for cycles
• Adaptive estimation of the fractional differencing coefficient
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Alternative forms of fractional Brownian motion
• An efficient taper for potentially overdifferenced long-memory time series
• Averaged periodogram estimation of long memory
• BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
• Broadband log-periodogram regression of time series with long-range dependence
• Effect of systematic sampling on arima models
• Estimating Long Memory in Volatility
• Exact local Whittle estimation of fractional integration
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Forecasting aggregated vector ARMA processes
• Fractional Brownian Motions, Fractional Noises and Applications
• Gaussian estimation of parametric spectral density with unknown pole
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• Gaussian Semiparametric Estimation of Non-stationary Time Series
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 42743 (Why is no real title available?)
• Log-periodogram regression of time series with long range dependence
• Modeling and pricing long memory in stock market volatility
• Moment bounds and central limit theorem for functions of Gaussian vectors
• Non-stationary log-periodogram regression
• Nonlinear log-periodogram regression for perturbed fractional processes
• Nonstationarity-extended local Whittle estimation
• ON GENERALIZED FRACTIONAL PROCESSES
• Rates of convergence and optimal spectral bandwidth for long range dependence
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
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• Temporal Aggregation and Bandwidth selection in estimating long memory
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal Aggregation of Garch Processes
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes
• Testing for unit roots with flow data and varying sampling frequency
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• Testing the random walk hypothesis: power versus frequency of observation
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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• Why Aggregate Long Memory Time Series?

Cited in

(14)

• Asymptotic behavior of temporal aggregates in the frequency domain
• A test of the long memory hypothesis based on self-similarity
• Temporal aggregation of cyclical models with business cycle applications
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Evaluating the efficiency of fractional integration parameter estimators
• THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
• Aggregation of the generalized fractional processes
• Persistence under temporal aggregation and differencing
• Temporal aggregation of seasonally near-integrated processes
• Fractional integration and data frequency
• Effect of temporal aggregation on multiple time series in the frequency domain
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes
• Assessing volatility persistence in fractional Heston models with self-exciting jumps

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