Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Jan Beran and Dirk Ocker

No 00/22, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0022

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