Aggregation of Seasonal Long-Memory Processes

Tomás del Barrio Castro and Heiko Rachinger

MPRA Paper from University Library of Munich, Germany

Abstract: To understand the impact of temporal aggregation on the properties of a seasonal long-memory process, the effects of skip and cumulation sampling on both stationary and nonstationary processes with poles at several potential frequencies are analyzed. By allowing for several poles in the disaggregated process, their interaction in the aggregated series is investigated. Further, by definning the process according to the truncated Type II definition, the proposed approach encompasses both stationary and nonstationary processes without requiring prior knowledge of the case. The frequencies in the aggregated series to which the poles in the disaggregated series are mapped can be directly deduced. Specifically, unlike cumulation sampling, skip sampling can impact on non-seasonal memory properties. Moreover, with cumulation sampling, seasonal long-memory can vanish in some cases. Using simulations, the mapping of the frequencies implied by temporal aggregation is illustrated and the estimation of the memory at the different frequencies is analyzed

Keywords: Aggregation; cumulation sampling; skip sampling; seasonal long memory. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2020-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Related works:
Journal Article: Aggregation of Seasonal Long-Memory Processes (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:102890

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