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Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study

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  • Souza, Leonardo R.
  • Smith, Jeremy

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 20 (2004)
Issue (Month): 3 ()
Pages: 487-502

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Handle: RePEc:eee:intfor:v:20:y:2004:i:3:p:487-502

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

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References

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  1. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
  2. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(2), pages 299-313.
  3. repec:wop:humbsf:1994-46 is not listed on IDEAS
  4. Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers, University of Essex, Department of Economics 437, University of Essex, Department of Economics.
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Cited by:
  1. Chan, Wai-Sum & Chan, Yin-Ting, 2008. "A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 728-735, April.
  2. Man, K.S. & Tiao, G.C., 2006. "Aggregation effect and forecasting temporal aggregates of long memory processes," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(2), pages 267-281.
  3. Souza, Leonardo Rocha, 2003. "Temporal Aggregation and Bandwidth Selection in Estimating Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 478, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 443-473.
  5. Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro de, 2003. "Convex Combinations of Long Memory Estimates from Different Sampling Rates," Economics Working Papers (Ensaios Economicos da EPGE) 489, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. Souza, Leonardo Rocha, 2003. "A note on Chambers's "long memory and aggregation in macroeconomic time series"," Economics Working Papers (Ensaios Economicos da EPGE) 503, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  8. Kourentzes, Nikolaos & Petropoulos, Fotios & Trapero, Juan R., 2014. "Improving forecasting by estimating time series structural components across multiple frequencies," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(2), pages 291-302.

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