A note on Chambers's 'long memory and aggregation in macroeconomic time series'

Leonardo Souza

No 503, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time processes, he takes the aliasing effect into account when studying temporal aggregation. For discrete-time processes, however, he seems to fail to do so. This note gives the spectral density function of temporally aggregated long memory discrete-time processes in light of the aliasing effect. The results are different from those in Chambers (1998) and are supported by a small simulation exercise. As a result, the order of aggregation may not be invariant to temporal aggregation, specifically if d is negative and the aggregation is of the stock type.

Date: 2003-10-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (8)

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Journal Article: A NOTE ON CHAMBERS'S "LONG MEMORY AND AGGREGATION IN MACROECONOMIC TIME SERIES" (2005)
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