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Estimation of fractional integration under temporal aggregation

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  • Uwe Hassler

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Abstract

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for semiparametric estimation and inference are closed with respect to aggregation. With these findings it is spelled out, which estimators remain valid upon aggregation under which conditions on bandwidth selection.

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Paper provided by HAL in its series Post-Print with number peer-00815563.

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Date of creation: 19 Apr 2011
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Publication status: Published, Journal of Econometrics, 2011
Handle: RePEc:hal:journl:peer-00815563

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Keywords: C14 (Semiparametric and Nonparametric Methods); C22 (Time-Series Models); C82 (Methodology for Collecting; Estimating; and Organizing Macroeconomic Data); Long memory; Difference-stationarity; Cumulating time series; Skip sampling; Closedness of assumptions;

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Cited by:
  1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series 2671, CESifo Group Munich.
  2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
  3. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods and Applications, Springer, Springer, vol. 21(1), pages 93-107, March.

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