Chambers, Marcus J (1998) Long Memory and Aggregation in Macroeconomic Time Series. International Economic Review, 39 (4). p. 1053. DOI https://doi.org/10.2307/2527352
Chambers, Marcus J (1998) Long Memory and Aggregation in Macroeconomic Time Series. International Economic Review, 39 (4). p. 1053. DOI https://doi.org/10.2307/2527352
Chambers, Marcus J (1998) Long Memory and Aggregation in Macroeconomic Time Series. International Economic Review, 39 (4). p. 1053. DOI https://doi.org/10.2307/2527352
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 which 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.
Item Type: | Article |
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Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 08 Jul 2012 16:45 |
Last Modified: | 16 May 2024 16:20 |
URI: | http://repository.essex.ac.uk/id/eprint/2747 |