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Estimation of fractional integration under temporal aggregation

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  • Hassler, Uwe

Abstract

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for semiparametric estimation and inference are closed with respect to aggregation. With these findings it is spelled out, which estimators remain valid upon aggregation under which conditions on bandwidth selection.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 162 (2011)
Issue (Month): 2 (June)
Pages: 240-247

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Handle: RePEc:eee:econom:v:162:y:2011:i:2:p:240-247

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Web page: http://www.elsevier.com/locate/jeconom

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Keywords: Long memory Difference stationarity Cumulating time series Skip sampling Closedness of assumptions;

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Citations

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Cited by:
  1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
  2. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
  3. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods and Applications, Springer, vol. 21(1), pages 93-107, March.

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