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Aggregation effect and forecasting temporal aggregates of long memory processes

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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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. John J. Seater & Robert J. Rossana, . "Temporal Aggregation and Economic Time Series," Working Paper Series 19, North Carolina State University, Department of Economics.
    3. Soosung Hwang, 1999. "The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties," Working Papers wp99-15, Warwick Business School, Finance Group.
    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. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
    6. 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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