The effects of systematic sampling and temporal aggregation on discrete time long memory processes and their finite sample properties

Econometric Theory

Volumn 16, Issue 3, 2000, Pages 347-372

  Hwang, Soosung ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034421533     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600163030     Document Type: Article

References (12)

1. Agiakloglou, C., P. Newbold, & M. Wohar (1993) Bias in an estimator of the fractional difference parameter. Journal of Time Series Analysis 14, 235-246.
2. Chambers, M. (1998) Long memory and aggregation in macroeconomic time series. International Economic Review 39, 1053-1072.
3. Cheung, Y. (1993) Long memory in foreign-exchange rates. Journal of Business and Economic Statistics 11, 93-101.
4. Cheung, Y. & F. Diebold (1994) On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean. Journal of Econometrics 62, 301-316.
5. Dahlhaus, R. (1989) Efficient parameter estimation for self-similar processes. Annals of Statistics 17, 1749-1766.
6. Diebold, F.X., & G.D. Rudebusch (1989) Long memory and persistence in aggregate output. Journal of Monetary Economics 24, 189-209.
7. Ding, Z., C. Granger, & R.F. Engle (1992) A Long Memory Property of Stock Market Returns and a New Model. Discussion paper 92-21, Department of Economics, University of California, San Diego.
8. Fox, R. & M.S. Taqqu (1986) Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Annals of Statistics 14, 517-532.
9. Geweke, J. & S. Porter-Hudak (1983) The estimation and application of long memory time series models. Journal of Time Series Analysis 4, 221-238.
10. Gradshteyn, I.S. & I.M. Ryzhik (1994) Table of Integrals, Series, and Products, 5th ed. New York: Academic Press.
11. Granger, C. & R. Joyeux (1980) An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis 1, 15-29.
12. Hauser, M.A. (1992) Long Range Dependence in International Output Series: A Reexamination. Working paper, Department of Statistics, Vienna University of Economics and Business Administration.