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Aggregation effect and forecasting temporal aggregates of long memory processes


  • Man, K.S.
  • Tiao, G.C.


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  • Man, K.S. & Tiao, G.C., 2006. "Aggregation effect and forecasting temporal aggregates of long memory processes," International Journal of Forecasting, Elsevier, vol. 22(2), pages 267-281.
  • Handle: RePEc:eee:intfor:v:22:y:2006:i:2:p:267-281

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    References listed on IDEAS

    1. Rossana, Robert J & Seater, John J, 1995. "Temporal Aggregation and Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 441-451, October.
    2. 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.
    3. 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 1053-1072, November.
    4. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
    5. 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.
    6. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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    Cited by:

    1. Hassler Uwe & Tsai Henghsiu, 2013. "Asymptotic Behavior of Temporal Aggregates in the Frequency Domain," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 47-60, January.
    2. Man Kasing, 2010. "Extended Fractional Gaussian Noise and Simple ARFIMA Approximations," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-26, September.
    3. repec:hal:journl:peer-00815563 is not listed on IDEAS
    4. Ramirez, Octavio A., 2011. "Conclusive Evidence on the Benefits of Temporal Disaggregation to Improve the Precision of Time Series Model Forecasts," Faculty Series 113520, University of Georgia, Department of Agricultural and Applied Economics.
    5. K. S. Man & G. C. Tiao, 2009. "ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 89-101.
    6. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
    7. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universit├Ąt Hannover, Wirtschaftswissenschaftliche Fakult├Ąt.
    8. Mansour Zarra-Nezhad & Ali Raoofi & Mohammad Hadi Akbarzdeh, 2016. "The Existence of Long Memory Property in OPEC Oil Prices," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 4(3), pages 142-152, September.

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