Long Memory and Aggregation in Macroeconomic Time Series
AbstractThis paper explores the interaction between long memory and aggregation. Results are derived which link the (possibly fractional) orders of integration of the aggregate series with those of the underlying series when the aggregation is either cross-sectional or temporal (in discrete or continuous time). These results provide empirically testable hypotheses that are examined using six U.K. macroeconomic series. A semiparametric method is found to be broadly consistent with the implications of the theory but fully parametric ARFIMA models show considerable variation. Each series appears to be integrated of an order of between one and one-and-a-half. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 437.
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Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
Other versions of this item:
- 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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