Temporal aggregation in a periodically integrated autoregressive process

DOI10.1016/0167-7152(95)00225-1MaRDI QIDQ1129424zbMATH OpenOpenAlexFDO

Authors Philip Hans Franses, H. Peter Boswijk

Publication date 14 December 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://repub.eur.nl/pub/2063

zbMATH Keywords

time seriescointegrationunit rootperiodically integrated autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Temporal aggregation of seasonally near-integrated processes
• Testing for periodic integration
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal aggregation in first order cointegrated vector autoregressive models

Cites work

• A multivariate approach to modeling univariate seasonal time series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• The Effect of Aggregation on Prediction in the Autoregressive Model
• The implications of periodically varying coefficients for seasonal time- series processes
• Time series with periodic structure
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Cited in

(7)

• Temporal aggregation in first order cointegrated vector autoregressive models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal aggregation of seasonally near-integrated processes
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
• Aggregation of isotropic autoregressive fields
• Temporal Aggregation and Bandwidth selection in estimating long memory
• Temporal aggregation of lognormal AR processes

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