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The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes

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Souza, Leonardo Rocha

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Paper provided by Graduate School of Economics, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 470.

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Date of creation: 01 Jan 2003
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Handle: RePEc:fgv:epgewp:470

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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. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September. [Downloadable!] (restricted)
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  2. 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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  3. Jan Beran & Dirk Ocker, 2000. "Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models," CoFE Discussion Paper 00-22, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  4. Deo, Rohit S. & Hurvich, Clifford M., 2001. "On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 17(04), pages 686-710, August. [Downloadable!]
  5. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
  6. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
  7. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June. [Downloadable!] (restricted)
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  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. 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, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  3. Souza, Leonardo Rocha, 2003. "Temporal Aggregation and Bandwidth Selection in Estimating Long Memory," Economics Working Papers (Ensaios Economicos da EPGE) 478, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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