Why Aggregate Long Memory Time Series?

Leonardo Souza

Econometric Reviews, 2008, vol. 27, issue 1-3, 298-316

Abstract: This article shows that, for large samples, temporally aggregating a true long memory time series (in order to get an improved estimator) may make little or no sense, as the practitioner can get virtually the same estimates as those from the aggregated series by choosing the appropriate bandwidths on the original one, provided some fairly general conditions apply. Besides, the practitioner has a wider choice of bandwidths than she has of aggregating levels. However, these results apply only to two specific and commonly used estimators, and do not apply to the aggregation procedure undertaken to compute the realized volatility. Also, aggregating a time series in order to test true versus spurious long memory (as in Ohanissian et al., 2008) is a relevant issue, particularly regarding stochastic and/or realized volatility, as many nonlinear processes display spurious long memory where the above result does not apply.

Keywords: Bandwidth; Long memory; Spectrum; Temporal aggregation (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474930701873408 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:298-316

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474930701873408

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().