Aggregation effect and forecasting temporal aggregates of long memory processes
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References listed on IDEAS
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- Soosung Hwang, 1999.
"The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties,"
wp99-15, Warwick Business School, Finance Group.
- Hwang, Soosung, 2000. "The Effects Of Systematic Sampling And Temporal Aggregation On Discrete Time Long Memory Processes And Their Finite Sample Properties," Econometric Theory, Cambridge University Press, vol. 16(03), pages 347-372, June.
- John J. Seater & Robert J. Rossana, .
"Temporal Aggregation and Economic Time Series,"
Working Paper Series
19, North Carolina State University, Department of Economics.
- 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.
- Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 437, University of Essex, Department of Economics.
- 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.
- Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
- 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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