Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
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Other versions of this item:
- Lippi, Marco & Zaffaroni, Paolo, 1998. "Aggregation of simple linear dynamics: exact asymptotic results," LSE Research Online Documents on Economics 6872, London School of Economics and Political Science, LSE Library.
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Cited by:
- Jan Beran & Haiyan Liu & Sucharita Ghosh, 2020. "On aggregation of strongly dependent time series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 690-710, September.
- Zaffaroni, Paolo, 2004. "Contemporaneous aggregation of linear dynamic models in large economies," Journal of Econometrics, Elsevier, vol. 120(1), pages 75-102, May.
- Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007.
"Dynamics of Persistence in International Inflation Rates,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
- Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
- Proietti, Tommaso & Maddanu, Federico, 2024.
"Modelling cycles in climate series: The fractional sinusoidal waveform process,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.
- Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.
More about this item
Keywords
Aggregation; idiosymcratic-driven fluctuations; long memory; nonstationarity.;All these keywords.
JEL classification:
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
Statistics
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