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Aggregation effect and forecasting temporal aggregates of long memory processes

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  • Man, K.S.
  • Tiao, G.C.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-4HM82DH-1/2/9abd6fe34eae8c51384ac16f6f1ade98
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    Bibliographic Info

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

    Volume (Year): 22 (2006)
    Issue (Month): 2 ()
    Pages: 267-281

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    Handle: RePEc:eee:intfor:v:22:y:2006:i:2:p:267-281

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

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    References

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    1. Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
    2. repec:wop:humbsf:1994-46 is not listed on IDEAS
    3. Rossana, Robert J & Seater, John J, 1995. "Temporal Aggregation and Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 441-51, October.
    4. Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502.
    5. Hwang, Soosung, 2000. "The Effects Of Systematic Sampling And Temporal Aggregation On Discrete Time Long Memory Processes And Their Finite Sample Properties," Econometric Theory, Cambridge University Press, vol. 16(03), pages 347-372, June.
    6. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
    7. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
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    Cited by:
    1. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
    2. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universit├Ąt Hannover, Wirtschaftswissenschaftliche Fakult├Ąt.
    3. Ramirez, Octavio A., 2012. "Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123470, Agricultural and Applied Economics Association.
    4. Ramirez, Octavio A., 2011. "Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts," Faculty Series 113520, University of Georgia, Department of Agricultural and Applied Economics.

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