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A Note On Chambers'S "Long Memory And Aggregation In Macroeconomic Time Series"

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Leonardo Rocha Souza

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Abstract

This note reviews some results on aggregating discrete-time long memory processes, providing a formula for the spectrum of the aggregates that considers the aliasing effect. Copyright 2005 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.

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Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 46 (2005)
Issue (Month): 3 (08)
Pages: 1059-1062
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Handle: RePEc:ier:iecrev:v:46:y:2005:i:3:p:1059-1062

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  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.
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  2. 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. [Downloadable!] (restricted)
  3. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Khan, M. Ali, 2003. "On choice of technique in the Robinson-Solow-Srinivasan model," Economics Working Papers (Ensaios Economicos da EPGE) 504, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  2. Mark J. Jensen, 2006. "The long-run Fisher effect: can it be tested?," Working Paper 2006-11, Federal Reserve Bank of Atlanta. [Downloadable!]
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  3. Ferreira, Pedro Cavalcanti Gomes & Facchini, Giovanni, 2004. "Trade liberalization and industrial concentration: Evidence from Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 531, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  4. Monteiro, Paulo Klinger, 2004. "The set of equilibria of first-price auctions," Economics Working Papers (Ensaios Economicos da EPGE) 536, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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