Faculty of Economics and Business Administration Publications Database

Asymptotic Behavior of Temporal Aggregates in the Frequency Domain

Tsai, Henghsiu
Volume: 5
Number: 1
Pages: 47 - 60
Month: May
Link External Source: Online Version
Year: 2013
Keywords: Normalized Spectral Density; Normalized Spectral Density; Cumulation of Time Series; Difference Stationarity; Long Memory
Abstract: The classical aggregation result by Tiao (1972, Asymptotic Behavior of Temporal Aggregates of Time Series, Biometrika 59, 525–531) is generalized for a weak set of assumptions. The innovations driving the integrated processes are only required to be stationary with integrable spectral density. The derivation is settled in the frequency domain. In case of fractional integration, it is demonstrated that the order of integration is preserved with growing aggregation under the same set of assumptions.