Long Memory and Aggregation in Macroeconomic Time Series

Marcus Chambers

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: This paper explores the interaction between long memory and aggregation. Results are derived which link the (possibly fractional) orders of integration of the aggregate series with those of the underlying series when the aggregation is either cross-sectional or temporal (in discrete or continuous time). These results provide empirically testable hypotheses that are examined using six U.K. macroeconomic series. A semiparametric method is found to be broadly consistent with the implications of the theory but fully parametric ARFIMA models show considerable variation. Each series appears to be integrated of an order of between one and one-and-a-half.

Date: 1995
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Journal Article: Long Memory and Aggregation in Macroeconomic Time Series (1998)
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