Estimation of fractional integration under temporal aggregation

Uwe Hassler

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Abstract: A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for semiparametric estimation and inference are closed with respect to aggregation. With these findings it is spelled out, which estimators remain valid upon aggregation under which conditions on bandwidth selection.

Keywords: C14 (Semiparametric and Nonparametric Methods); C22 (Time-Series Models); C82 (Methodology for Collecting; Estimating; and Organizing Macroeconomic Data); Long memory; Difference-stationarity; Cumulating time series; Skip sampling; Closedness of assumptions (search for similar items in EconPapers)
Date: 2011-04-19
Note: View the original document on HAL open archive server: https://hal.science/hal-00815563
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Citations: View citations in EconPapers (25)

Published in Econometrics, 2011, ⟨10.1016/j.jeconom.2011.01.003⟩

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Journal Article: Estimation of fractional integration under temporal aggregation (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00815563

DOI: 10.1016/j.jeconom.2011.01.003

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